Optimal control problem for stochastic evolution equations in Hilbert spaces

DOI10.1080/00207179.2010.495161zbMath1208.49004MaRDI QIDQ3058317

Bin Liu, Jianjun Zhou

Publication date: 19 November 2010

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2010.495161

zbMATH Keywords

optimal control; backward stochastic differential equations; stochastic evolution equations; quadratic growth

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49J15: Existence theories for optimal control problems involving ordinary differential equations

Related Items

Unnamed Item, Optimal control of nonlocal thermistor equations, A stochastic model for electrodeposition process with applications in filtering and boundary control, Optimal controls problems for some impulsive stochastic integro-differential equations with state-dependent delay, Optimal Solutions of Fractional Nonlinear Impulsive Neutral Stochastic Functional Integro-Differential Equations, Exponential stability for second-order neutral stochastic differential equations with impulses, The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces, Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces, Optimal controls for fractional stochastic functional differential equations of order \(\alpha \in (1, 2\)], Solvability and optimal controls of a fractional impulsive stochastic partial integro-differential equation with state-dependent delay, Optimal control of second order stochastic evolution hemivariational inequalities with Poisson jumps, Stochastic optimal control in infinite dimensions with state constraints, The optimal control of a new class of impulsive stochastic neutral evolution integro-differential equations with infinite delay

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• On backward stochastic evolution equations in Hilbert spaces and optimal control
• Optimal control of stochastic differential equations with dynamical boundary conditions
• Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities
• Semilinear Kolmogorov equations and applications to stochastic optimal control
• BSDE with quadratic growth and unbounded terminal value
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
• Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces
• Second-Order Hamilton–Jacobi Equations in Infinite Dimensions
• On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic Criterion
• Backward Stochastic Differential Equations in Finance
• Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem
• On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth