On the existence of stochastic optimal c
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Rainer Buckdahn; Aurel RΔΕcanu
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Article
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2003
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Elsevier Science
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English
β 277 KB
An optimal control problem governed by a semilinear parabolic stochastic di erential equation with nonlinear di usion coe cient is studied and the existence of a quasi-optimal (nonrelaxed) control is proved without assuming convexity of the coe cients. The control state space is not compact and of i