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Stochastic maximum principle for distributed parameter systems. (English) Zbl 0519.93042


MSC:

93C20 Control/observation systems governed by partial differential equations
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
93E20 Optimal stochastic control
35R60 PDEs with randomness, stochastic partial differential equations
49K20 Optimality conditions for problems involving partial differential equations
49K45 Optimality conditions for problems involving randomness
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References:

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[10] Lions, J.L., Contrôle optimal de systémes distribués, (1968), Springer Dunod, Paris, English translation by S.K. Mitter · Zbl 0278.49004
[11] Pardoux, E., Stochastic partial differential equations and filtering of diffusion processes, Stochastics, Vol. 3, 127-167, (1979) · Zbl 0424.60067
[12] Tartar, L., Sur l’étude directe d’équations non linéaires intervenant en théorie du contrôle optimal, J. funct. anal., Vol. 17, 1-47, (1974) · Zbl 0293.49004
[13] Wonham, W.M., On a matrix Riccati equation of stochastic control, SIAM J. control, Vol. 6, 312-326, (1968) · Zbl 0164.19101
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