Stochastic Optimal Control in Infinite Dimension

DOI10.1007/978-3-319-53067-3zbMath1379.93001OpenAlexW2612326543MaRDI QIDQ2968752

Andrzej Świȩch, Giorgio Fabbri, Fausto Gozzi

Publication date: 20 March 2017

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-53067-3

zbMATH Keywords

dynamic programmingviscosity solutionsHamilton Jacobi Bellman equationsstochastic optimal control in infinite dimensional spaces

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) PDEs in connection with control and optimization (35Q93)

Related Items (91)

Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Bellman equation and viscosity solutions for mean-field stochastic control problem ⋮ Stochastic optimal control and simulations with application to the cashew nut sector in Senegal ⋮ Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization ⋮ A Stochastic Model of Economic Growth in Time-Space ⋮ Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ Stochastic optimal control in infinite dimensions with state constraints ⋮ Integro-PDE in Hilbert spaces: existence of viscosity solutions ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes ⋮ Sparse optimal stochastic control ⋮ Monotone Solutions of the Master Equation for Mean Field Games with Idiosyncratic Noise ⋮ Stochastic maximum principle for systems driven by local martingales with spatial parameters ⋮ Robust control of parabolic stochastic partial differential equations under model uncertainty ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Remarks on the vanishing viscosity process of state-constraint Hamilton-Jacobi equations ⋮ Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise ⋮ Optimal regional control for a class of semilinear time-fractional diffusion systems with distributed feedback ⋮ HJB equations and stochastic control on half-spaces of Hilbert spaces ⋮ A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces ⋮ Some Connections Between Stochastic Mechanics, Optimal Control, and Nonlinear Schrödinger Equations ⋮ Existence of Optimal Control for Nonlinear Fokker–Planck Equations in \(\boldsymbol{L^1(\mathbb{R}^d)}\). ⋮ Optimal control for uncertain random continuous-time systems ⋮ Viscosity Solutions for Obstacle Problems on Wasserstein Space ⋮ Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise ⋮ Quenched mass transport of particles toward a target ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing ⋮ Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks ⋮ HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Observer-based event-triggered optimal control for unknown nonlinear stochastic multi-agent systems with input constraints ⋮ Existence of optimal controls for SPDE with locally monotone coefficients ⋮ Stochastic Dirichlet-Poisson problem on Hilbert spaces ⋮ Viscosity Solutions for McKean–Vlasov Control on a Torus ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ Optimal Control of Nonlinear Stochastic Differential Equations on Hilbert Spaces ⋮ Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems ⋮ Dynamic programming principle for classical and singular stochastic control with discretionary stopping ⋮ Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations ⋮ Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case ⋮ Internal habits formation and optimality ⋮ Forward and backward stochastic differential equations with normal constraints in law ⋮ Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions ⋮ Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane ⋮ Optimal investment with vintage capital: equilibrium distributions ⋮ A stochastic maximum principle for control problems constrained by the stochastic Navier-Stokes equations ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Smooth solutions to portfolio liquidation problems under price-sensitive market impact ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics ⋮ Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces ⋮ Zero-sum stochastic differential games of generalized McKean-Vlasov type ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems ⋮ Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces ⋮ Restoring uniqueness to mean-field games by randomizing the equilibria ⋮ Minimum energy with infinite horizon: from stationary to non-stationary states ⋮ On generators of transition semigroups associated to semilinear stochastic partial differential equations ⋮ Distributed optimal control models in environmental economics: a review ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ A general convergence result for viscosity solutions of Hamilton-Jacobi equations and non-linear semigroups ⋮ Deterministic control of stochastic reaction-diffusion equations ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ Optimal portfolio choice with path dependent benchmarked labor income: a mean field model ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty ⋮ A dynamic theory of spatial externalities ⋮ Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions ⋮ Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge ⋮ A concise introduction to control theory for stochastic partial differential equations ⋮ On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs ⋮ Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems ⋮ State Constrained Control Problems in Banach Lattices and Applications ⋮ Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format ⋮ Aleksandrov-Bakelman-Pucci maximum principle for \(L^p\)-viscosity solutions of equations with unbounded terms ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations ⋮ An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion ⋮ Portfolio liquidation under factor uncertainty

This page was built for publication: Stochastic Optimal Control in Infinite Dimension