原创力文档A variational formula for controlled backward stochastic partial differential equations and some application.pdfVIP
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A variational formula for controlled backward stochastic partial differential equations and some application.pdf
App1．Math．J．Chinese 【劫．
2014，29(3)：295—306
A variationalformula forcontrolledbackward stochastic
partialdifferentialequationsand someapplication
MENGQing-xin， TANGMao—ning
Abstract．Anoptimalcontrolproblem foracontrolledbackwardstochasticpartialdifferential
equationintheabstractevolutionform withaBolzatypeperformancefunctionalisconsidered．
Thecontroldomainisnotassumedtobeconvex，andallcoefficientsofthesystem areallowed
toberandom． A variationalformula ofrthefunctionalin a given controlprocessdirection
isderived，bytheHam
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