A dual representation result for value functions in stochastic control of infinite dimensional groups

DOI10.12775/TMNA.2019.054zbMath1458.49028OpenAlexW2987949063MaRDI QIDQ2229204

Mihai Sîrbu, Viorel Barbu

Publication date: 22 February 2021

Published in: Topological Methods in Nonlinear Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.tmna/1573441219

zbMATH Keywords

dualityLegendre transformvalue functionlinear-convex stochastic control

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)

Cites Work

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• Conjugate convex functions in optimal stochastic control
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Existence, uniqueness and space regularity of the adapted solutions of a backward spde
• Null controllability of an infinite dimensional SDE with state- and control-dependent noise
• Stochastic Equations in Infinite Dimensions

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