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2013 Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces
Xueping Zhu, Jianjun Zhou
Abstr. Appl. Anal. 2013: 1-14 (2013). DOI: 10.1155/2013/791786

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.

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Xueping Zhu. Jianjun Zhou. "Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces." Abstr. Appl. Anal. 2013 1 - 14, 2013. https://doi.org/10.1155/2013/791786

Information

Published: 2013
First available in Project Euclid: 18 April 2013

zbMATH: 1263.49022
MathSciNet: MR3034994
Digital Object Identifier: 10.1155/2013/791786

Rights: Copyright © 2013 Hindawi

Vol.2013 • 2013
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