General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

• Main Authors: Lü, Qi (Author), Zhang, Xu (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Series: SpringerBriefs in Mathematics,
• Subjects: Mathematics.; Economics, Mathematical.; System theory.; Calculus of variations.; Probabilities.; Statistics.; Systems Theory, Control.; Calculus of Variations and Optimal Control; Optimization.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Statistics, general.

The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The corresponding theory is by now well-developed in the deterministic infinite dimensional setting and for the stochastic differential...