Stochastic Optimal Control in Infinite Dimension
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Publication:2968752
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
dynamic programmingviscosity solutionsHamilton Jacobi Bellman equationsstochastic optimal control in infinite dimensional spaces
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)
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