Maximum principle for optimal control of stochastic evolution equations with recursive utilities中国科学院数学与系统科学研究院应用数学研究所

Maximum principle for optimal control of stochastic evolution equations with recursive utilities

Speaker:	刘国民博士,南开大学
Inviter:
Title:	Maximum principle for optimal control of stochastic evolution equations with recursive utilities
Time & Venue:	2023.10.27 9:50 N613
Abstract:	We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum principle is given for the optimal control, allowing the control domain not to be convex and the generator of the BSDE to vary with the second unknown variable z. The associated second-order adjoint process is characterized as a unique solution of a conditionally expected operator-valued backward stochastic integral equation. This talk is based on a joint work with Prof. Shanjian Tang.
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