Control Theory of Stochastic Distributed Parameter Systems: Recent Progresses
报告人：吕琦教授（四川大学）
报告时间：2022.04.27
报告摘要：In this talk, we present the stochastic transposition method which is an advanced duality method, to solve backward stochastic evolution equations. As typical examples, we main focus on three classes of backward stochastic evolution equations: vector-valued backward stochastic evolution equation, operator-valued backward stochastic Lyapunov equation and operator-valued backward stochastic Riccati equation. As applications of the well-posedness of these equations, we give some recent results in optimal control problems for stochastic evolution equations, including a general Pontryagin-type maximum principle for optimal controls of stochastic evolution equations in infinite dimensions, some second order necessary conditions for optimal controls and the existence of an optimal feedback control of linear quadratic optimal control problems.
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