具随机生成元的受控随机发展方程的Pontryagin型最大值原理

Pontryagin-type stochastic maximum principle of stochastic evolution equations with a random generator

摘要:

本文研究当控制区域是凸集时带有随机生成元的受控正向随机发展方程的Pontryagin型最大值原理.运用Malliavin分析方法，本文给出了当p>=2时控制系统温和解的存在唯一性，运用转置方法获得了当1

Abstract:

In this paper,we establish a Pontryagin-type maximum principle for a control stochastic evolution equation with a random generator and a convex control domain. Given p>=2, the existence and uniqueness of mild solutions to the control system are obtained by using the Malliavin calculus. To study the well-posedness of the adjoint systems when 1