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

DOI10.1080/17442508508833350zbMath0571.93068OpenAlexW2060650483MaRDI QIDQ3689069

Gianluca Gorni

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508508833350

zbMATH Keywords

regularity of the value functiondynamic programming equation in Hilbert space

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Fréchet and Gateaux differentiability in optimization (49J50) Linear systems in control theory (93C05) Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60) Control/observation systems in abstract spaces (93C25) Optimality conditions for problems involving randomness (49K45) Inner product spaces and their generalizations, Hilbert spaces (46C99)

Cites Work

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

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