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An Algorithm for Infinite Dimensional Stochastic Control Problems.

Authors :
Grecksch, Wilfried
Source :
ZAMM -- Journal of Applied Mathematics & Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik; Nov2002, Vol. 82 Issue 11/12, p767-780, 14p
Publication Year :
2002

Abstract

An algorithm of Bonnans is generalized to the case of optimal control of a stochastic evolution equation. Properties of the adjoint process are also discussed. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
STOCHASTIC analysis
STOCHASTIC control theory
HILBERT space
ALGORITHMS
ADJOINT differential equations

Details

Language :
English
ISSN :
00442267
Volume :
82
Issue :
11/12
Database :
Complementary Index
Journal :
ZAMM -- Journal of Applied Mathematics & Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik
Publication Type :
Academic Journal
Accession number :
13349687
Full Text :
https://doi.org/10.1002/1521-4001(200211)82:11/12<767::AID-ZAMM767>3.0.CO;2-M
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