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. © 2008 Elsevier Inc. All rights reserved.
Optimal control of stochastic differential equations with dynamical boundary conditions
Bonaccorsi, Stefano;Mastrogiacomo, Elisa
2008-01-01
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. © 2008 Elsevier Inc. All rights reserved.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
journal-version.pdf
Solo gestori archivio
Tipologia:
Versione editoriale (Publisher’s layout)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
386.59 kB
Formato
Adobe PDF
|
386.59 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione