Optimality principle and synthesis for a stochastic control problem in hilbert spaces

DOI10.1080/17442508408833302zbMath0544.93078OpenAlexW1998872409MaRDI QIDQ3335663

Gianluca Gorni

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833302

zbMATH Keywords

value functionHilbert-valued linear stochastic systemminimization of a convex functional

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Synthesis problems (93B50) Dissections and valuations (Hilbert's third problem, etc.) (52B45) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

The dynamic programming equation for stochastic optical control in hilbert spaces: a variational approach

Cites Work

• Infinite dimensional linear systems theory
• Conjugate convex functions in optimal stochastic control
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