Partially observed optimal controls for nonlinear infinite dimensional stochastic systems

MaRDI QIDQ2785858zbMATH OpenFDO

Authors Jerzy Zabczyk, N. U. Ahmed

Publication date 30 July 1997

Published in Dynamic Systems and Applications (Search for Journal in Brave)

zbMATH Keywords

existence of optimal controlsHilbert spaceinfinite-dimensional stochastic systemsKolmogorov operatormeasurable selections for multifunctionspartially observed

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Existence theories for problems in abstract spaces (49J27) Optimal stochastic control (93E20)

Review text

We present some new results on partially observed control problems for infinite-dimensional stochastic systems in Hilbert space using a fundamental result of Da Prato and Zabczyk on infinite-dimensional Kolmogorov operators. We prove the existence of optimal controls for the infinite-dimensional Zakai equation following the theory of measurable selections for multifunctions.

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