SIAM Journal on Control and Optimization, Vol.51, No.6, 4343-4362, 2013
A MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF STOCHASTIC EVOLUTION EQUATIONS
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable and linear unbounded operators act in both drift and diffusion terms, and the control set need not be convex.
Keywords:maximum principle;stochastic evolution equation;L-p estimate;stochastic bilinear functional;operator-valued stochastic process