Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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OPTIMAL CONTROL ON SEMILINEAR RETARDED STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY POISSON JUMPS IN HILBERT SPACE

  • Nagarajan, Durga (Department of Mathematics The Gandhigram Rural Institute - Deemed University) ;
  • Palanisamy, Muthukumar (Department of Mathematics The Gandhigram Rural Institute - Deemed University)
  • Received : 2017.01.28
  • Accepted : 2017.09.14
  • Published : 2018.03.31
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Abstract

This paper deals with an optimal control on semilinear stochastic functional differential equations with Poisson jumps in a Hilbert space. The existence of an optimal control is derived by the solution of proposed system which satisfies weakly sequentially compactness. Also the stochastic maximum principle for the optimal control is established by using spike variation technique of optimal control with a convex control domain in Hilbert space. Finally, an application of retarded type stochastic Burgers equation is given to illustrate the theory.

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References

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