Reflected BSDEs, optimal control and stopping for infinite-dimensional systems

DOI10.1051/cocv/2016059zbMath1375.60106arXiv1411.3897OpenAlexW2964195474MaRDI QIDQ4594367

Marco Fuhrman, Federica Masiero, Gianmario Tessitore

Publication date: 23 November 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3897

zbMATH Keywords

obstacle problemreflected backward stochastic differential equationsoptimal stopping in infinite dimension

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems

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