Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions

DOI10.1051/cocv/2021001zbMath1468.35242OpenAlexW3119942333MaRDI QIDQ4999508

Andrzej Świȩch

Publication date: 7 July 2021

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

Full work available at URL: https://doi.org/10.1051/cocv/2021001

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controltwo-scale system

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Singular perturbations in context of PDEs (35B25) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) PDEs in connection with control and optimization (35Q93)

Related Items

Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization, Singular perturbations in stochastic optimal control with unbounded data, The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces

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