Research-Forward-Backward Stochastic Evolution Equation In Hilbert Space and Related Optimal Control Problem

Research

Probability & Statistics Seminar

Forward-Backward Stochastic Evolution Equation In Hilbert Space and Related Optimal Control Problem

Speaker: Qingxin Meng (Huzhou University)
Time: Apr 15, 2022, 15:00-16:00
Location: Tencent Meeting ID 544 717 340

Abstract

Existence and uniqueness of results of fully coupled infinite dimensions forward-backward stochastic evolution equation (FBSEE in short) with an arbitrarily time duration are obtained by continuation method and continuous dependence theorem of FBSEE under some monotonicity condition on coefficients. Then, we develop a local maximum principle for a general infinite dimensions stochastic optimal control problem driven by FBSEE with a convex control domain with convex variational method.