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http://dx.doi.org/10.4134/BKMS.b170083

OPTIMAL CONTROL ON SEMILINEAR RETARDED STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY POISSON JUMPS IN HILBERT SPACE  

Nagarajan, Durga (Department of Mathematics The Gandhigram Rural Institute - Deemed University)
Palanisamy, Muthukumar (Department of Mathematics The Gandhigram Rural Institute - Deemed University)
Publication Information
Bulletin of the Korean Mathematical Society / v.55, no.2, 2018 , pp. 479-497 More about this Journal
Abstract
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.
Keywords
nonlinear optimal control; Poisson jump processes; retarded system; stochastic dynamic system; stochastic maximum principle;
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