Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions (Q1813211): Difference between revisions

We study here fully nonlinear second-order degenerate elliptic equations of the following form \[ F(D^ 2 u,Du,u,x)=0\quad\text{in }H,\tag{1} \] where \(H\) is a separable Hilbert space, \(x\) denotes a generic point in \(H\), \(u\) --- the unknown --- is a function from \(H\) into \({\mathbf R}\), \(Du\) and \(D^ 2 u\) denote the first and second Fréchet differentials that we identify respectively with elements of \(H\), and symmetric bounded bilinear forms over \(H\) or indifferentily bounded symmetric operators on \(H\). The main motivation for studying such equations is the study of optimal stochastic control problems and their associated Hamilton-Jacobi- Bellman equations (HJB in short). In section II, we present a notion of weak solutions of (I) that we call viscosity solutions. Then, in section III, we introduce the class of stochastic control problems in infinite dimensions we will be studying. And we show various properties of the value function such as regularity properties. Next, in section IV, we check that the value function is the unique viscosity solution of the associated HJB equation. We would like to point out that even if the results presented here are somewhat analogous to those known in finite dimensions, the methods for proving them are quite different and many considerable ``technical'' difficulties appear.