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A variational formula for controlled backward stochastic partial differential equations and some application
Authors:MENG Qing-xin  TANG Mao-ning
Institution:1. Department of Mathematics, Huzhou Teachers College, Huzhou 313000, China;School of Mathematical Sciences, Fudan University, Shanghai 200433, China
2. Department of Mathematics, Huzhou Teachers College, Huzhou 313000, China
Abstract:An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.
Keywords:Variational formula  stochastic evolution equation  backward stochastic evolution equation  stochastic maximum principle  spike variation
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