Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
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Publication:5889015
DOI10.1137/22M1474679MaRDI QIDQ5889015
Federica Masiero, Fausto Gozzi
Publication date: 26 April 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.04305
stochastic boundary control problemssecond order Hamilton-Jacobi-Bellman equations in infinite dimensionunbounded control operatorsmoothing properties of transition semigroupsstochastic control of delay equation with delay in the control
Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by functional-differential equations (93C23) Markov semigroups and applications to diffusion processes (47D07) Optimal stochastic control (93E20) Stochastic integral equations (60H20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)
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