Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
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Publication:1634179
DOI10.1214/18-AAP1397zbMath1405.93231arXiv1702.05642WikidataQ129162029 ScholiaQ129162029MaRDI QIDQ1634179
Fausto Gozzi, Salvatore Federico
Publication date: 17 December 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.05642
stochastic optimal controltransition semigroupverification theoremoptimal feedbackDynkin's formulainfinite dimensional HJB equation
Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Feedback control (93B52) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)
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