Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces

DOI10.1007/s00245-019-09577-yzbMath1461.93543arXiv1701.01165OpenAlexW2964329929WikidataQ127915501 ScholiaQ127915501MaRDI QIDQ2020319

Giuseppina Guatteri, Gianmario Tessitore

Publication date: 23 April 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01165

zbMATH Keywords

ergodic controlBSDEsstochastic equations in infinite dimensions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization, Singular perturbations in stochastic optimal control with unbounded data, The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces, Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs, Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions

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