一类Lévy噪声驱动倒向随机偏微分方程的随机最大值原理

Stochastic Maximum Principle for a Class of Backward Stochastic Partial Equations Driven by Lévy Noises

利用凸变分法和对偶技术,研究一类Lévy噪声驱动的倒向随机发展型偏微分方程的最优控制问题,得到了该问题的随机最大值原理.

Using convex variation method and a duality technique,we studied stochastic optimal control problem for backward stochastic partial differential equations with abstract evolution form driven by Lévy noises,and obtained the maximum principle of this problem.