We consider stochastic optimal control problems in Banach spaces. These problems are related to nonlinear controlled equations with dissipative nonlinearity and are treated via the backward stochastic differential equation approach, which also allows us to solve, in a mild sense, Hamilton-Jacobi-Bellman equations in Banach spaces. We apply the results to controlled stochastic heat and wave equations with a cost functional that is well defined on continuous functions, and to delay equations in spaces of p-integrable functions.
Masiero, F. (2008). Stochastic optimal control problems and parabolic equations in Banach spaces. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 47(1), 251-300 [10.1137/050632725].
Stochastic optimal control problems and parabolic equations in Banach spaces
MASIERO, FEDERICA
2008
Abstract
We consider stochastic optimal control problems in Banach spaces. These problems are related to nonlinear controlled equations with dissipative nonlinearity and are treated via the backward stochastic differential equation approach, which also allows us to solve, in a mild sense, Hamilton-Jacobi-Bellman equations in Banach spaces. We apply the results to controlled stochastic heat and wave equations with a cost functional that is well defined on continuous functions, and to delay equations in spaces of p-integrable functions.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.