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This paper deals with an optimal control on semilinear stochastic functional differential equations with Poisson jumps in a Hilbert space. The existence of an optimal control is derived by the solution of proposed system which satisfies weakly sequentially compactness. Also the stochastic maximum principle for the optimal control is established by using spike variation technique of optimal control with a convex control domain in Hilbert space. Finally, an application of retarded type stochastic Burgers equation is given to illustrate the theory.
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참고문헌 (31)
참고문헌 신청
A. Al-Hussein / 2010 / Maximum principle for controlled stochastic evolution equations / Int. J. Math. Anal. (Ruse) 4(29-32):1447~1464
K. J. Astrom / 1970 / Introduction to Stochastic Control Theory, Mathematics in Science and Engineering, Vol. 70 / Academic Press
J.-P. Aubin / 1963 / Un theoreme de compacite / C. R. Acad. Sci. Paris 256:5042~5044
A. Chadha / 2017 / Approximate controllability of impulsive neutral stochastic differential equations driven by Poisson jumps / J. Dyn. Control. Syst. :1~28
R. Cont / 2004 / Financial Modelling with Jump Processes, Chapman & Hall/CRC Financial Mathematics Series / Chapman & Hall/CRC
K. J. Astrom / 1970 / Introduction to Stochastic Control Theory, Mathematics in Science and Engineering, Vol. 70 / Academic Press
J.-P. Aubin / 1963 / Un theoreme de compacite / C. R. Acad. Sci. Paris 256:5042~5044
A. Chadha / 2017 / Approximate controllability of impulsive neutral stochastic differential equations driven by Poisson jumps / J. Dyn. Control. Syst. :1~28
R. Cont / 2004 / Financial Modelling with Jump Processes, Chapman & Hall/CRC Financial Mathematics Series / Chapman & Hall/CRC
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