Sufficient conditions for optimality for stochastic evolution equations

In this paper we derive for a controlled stochastic evolution system on a Hilbert space sufficient conditions for optimality. Our result is derived by using its so-called adjoint backward stochastic evolution equation.

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Year of publication:	2013
Authors:	Al-Hussein, AbdulRahman
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 2103-2107
Publisher:	Elsevier
Subject:	Stochastic evolution equation \| Backward stochastic evolution equation \| Optimal control \| Sufficient conditions for optimality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678735