On the existence of stochastic optimal control of distributed state system
type: Item
instance of: scholarly article
title: On the existence of stochastic optimal control of distributed state system
zbMATH Open document ID: 1030.93057
DOI: 10.1016/S0362-546X(02)00158-X
author: Aurel Răşcanu
author: Rainer Buckdahn
published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
publication date: 2003-03-11T00:00:00Z
review text: This paper deals with an optimal control problem governed by a semilinear parabolic stochastic differential equation with a nonlinear diffusion coefficient. The driving Wiener process is a Hilbert space valued cylindrical one. The control space is not compact and is of infinite dimension. The authors prove the existence of a quasi-optimal (nonrelaxed) control, without assuming convexity of coefficients, choosing approximate optimal controls by Ekeland's principle and recalling tightness criteria.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H15
zbMATH DE Number: 1880002
zbMATH Keywords: cylindrical Wiener process
zbMATH Keywords: Skorokhod theorem
zbMATH Keywords: quasi-optimal control
zbMATH Keywords: optimal control
zbMATH Keywords: semilinear parabolic stochastic differential
zbMATH Keywords: nonlinear diffusion coefficient
zbMATH Keywords: approximate optimal
zbMATH Keywords: Ekeland's principle
zbMATH Keywords: tightness
reviewed by: Makiko Nisio
MaRDI profile type: Publication
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full work available at URL: s0362-546x(02)00158-x
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description: scientific article; zbMATH DE number 1880002