On the existence of stochastic optimal control of distributed state system
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.
semilinear parabolic stochastic differential
scientific article; zbMATH DE number 1880002
scientific article