Optimal control problems for stochastic delay evolution equations in Banach spaces

DOI10.1080/00207179.2011.592999zbMath1227.49021OpenAlexW2017066714MaRDI QIDQ3098196

Zufeng Zhang, Jianjun Zhou

Publication date: 17 November 2011

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2011.592999

zbMATH Keywords

optimal controlBanach spacesbackward stochastic differential equationsHamilton-Jacobi-Bellman equationsstochastic delay evolution equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces ⋮ A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Optimal control for stochastic delay evolution equations ⋮ A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Optimal control of a stochastic delay partial differential equation with boundary-noise and boundary-control ⋮ The existence and uniqueness of the solution for nonlinear Kolmogorov equations ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control

Cites Work

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• On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic Criterion
• Backward Stochastic Differential Equations in Finance
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem

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