Optimal control of stochastic differential equations with dynamical boundary conditions |
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Authors: | Stefano Bonaccorsi Fulvia Confortola |
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Institution: | a Dipartimento di Matematica, Università di Trento, via Sommarive 14, 38050 Povo (Trento), Italy b Dipartimento di Matematica, Università di Milano Bicocca, via Cozzi 53, 20125 Milano, Italy |
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Abstract: | In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problems with nonstandard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a finite dimensional dynamics, which describes the boundary conditions of the internal system. In other terms, we are concerned with nonstandard boundary conditions, as the value at the boundary is governed by a different stochastic differential equation. |
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Keywords: | Stochastic differential equations in infinite dimensions Dynamical boundary conditions Optimal control |
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