Stochastic optimal control in infinite dimensions with state constraints

DOI10.1016/J.NA.2022.113050MaRDI QIDQ2157306zbMATH OpenOpenAlexWikidataFDO

Authors Jun-Hee Moon

Publication date 27 July 2022

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2022.113050

zbMATH Keywords

viscosity solutionbackward reachability analysisHamilton-Jacobi-Bellman equation in infinite dimensionsstate-constrained control problem

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Control/observation systems in abstract spaces (93C25)

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Cited in

(9)

• Stochastic Perron's method for optimal control problems with state constraints
• On the infinite time solution to state-constrained stochastic optimal control problems
• A dual representation result for value functions in stochastic control of infinite dimensional groups
• Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
• BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
• Stochastic Optimal Control in Infinite Dimension
• scientific article; zbMATH DE number 17900 (Why is no real title available?)
• Optimal control of \(\infty\)-dimensional stochastic systems via generalized solutions of HJB equations
• State constrained control problems in Banach lattices and applications

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