Abstract and Applied Analysis

Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces

Xueping Zhu and Jianjun Zhou

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Abstract

The aim of the present paper is to study an infinite horizon optimal control problem in which the controlled state dynamics is governed by a stochastic delay evolution equation in Hilbert spaces. The existence and uniqueness of the optimal control are obtained by means of associated infinite horizon backward stochastic differential equations without assuming the Gâteaux differentiability of the drift coefficient and the diffusion coefficient. An optimal control problem of stochastic delay partial differential equations is also given as an example to illustrate our results.

Article information

Source
Abstr. Appl. Anal., Volume 2013 (2013), Article ID 791786, 14 pages.

Dates
First available in Project Euclid: 18 April 2013

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1366306761

Digital Object Identifier
doi:10.1155/2013/791786

Mathematical Reviews number (MathSciNet)
MR3034994

Zentralblatt MATH identifier
1263.49022

Citation

Zhu, Xueping; Zhou, Jianjun. Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces. Abstr. Appl. Anal. 2013 (2013), Article ID 791786, 14 pages. doi:10.1155/2013/791786. https://projecteuclid.org/euclid.aaa/1366306761


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