Stochastic Optimal Control in Infinite Dimension
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Publication:2968752
DOI10.1007/978-3-319-53067-3zbMATH Open1379.93001OpenAlexW2612326543MaRDI QIDQ2968752FDOQ2968752
Andrzej Świȩch, Fausto Gozzi, Giorgio Fabbri
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
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- Forward and backward stochastic differential equations with normal constraints in law
- Deterministic control of stochastic reaction-diffusion equations
- A concise introduction to control theory for stochastic partial differential equations
- On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs
- Sparse optimal stochastic control
- Monotone Solutions of the Master Equation for Mean Field Games with Idiosyncratic Noise
- Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
- Portfolio liquidation under factor uncertainty
- Zero-sum stochastic differential games of generalized McKean-Vlasov type
- Path-dependent Hamilton-Jacobi equations in infinite dimensions
- Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
- Stochastic optimal control in infinite dimensions with state constraints
- Quenched mass transport of particles toward a target
- HJB equations and stochastic control on half-spaces of Hilbert spaces
- Viscosity Solutions of Path-Dependent PDEs with Randomized Time
- Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces
- Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
- Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case
- Stochastic optimal control and simulations with application to the cashew nut sector in Senegal
- Distributed optimal control models in environmental economics: a review
- Optimal control for uncertain random continuous-time systems
- A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes
- On generators of transition semigroups associated to semilinear stochastic partial differential equations
- A general convergence result for viscosity solutions of Hamilton-Jacobi equations and non-linear semigroups
- Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
- Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions
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- Restoring uniqueness to mean-field games by randomizing the equilibria
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- Observer-based event-triggered optimal control for unknown nonlinear stochastic multi-agent systems with input constraints
- Optimal investment with vintage capital: equilibrium distributions
- Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- State Constrained Control Problems in Banach Lattices and Applications
- HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Internal habits formation and optimality
- Minimum energy with infinite horizon: from stationary to non-stationary states
- Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
- A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
- Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
- Existence of Optimal Control for Nonlinear Fokker–Planck Equations in \(\boldsymbol{L^1(\mathbb{R}^d)}\).
- Path-dependent equations and viscosity solutions in infinite dimension
- Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems
- On a Class of Infinite-Dimensional Singular Stochastic Control Problems
- Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
- Viscosity Solutions for Obstacle Problems on Wasserstein Space
- Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Aleksandrov-Bakelman-Pucci maximum principle for \(L^p\)-viscosity solutions of equations with unbounded terms
- Optimal regional control for a class of semilinear time-fractional diffusion systems with distributed feedback
- A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays
- Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
- Optimal Control of Nonlinear Stochastic Differential Equations on Hilbert Spaces
- Strong-viscosity solutions: classical and path-dependent PDEs
- Robust control of parabolic stochastic partial differential equations under model uncertainty
- Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
- Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- A Stochastic Model of Economic Growth in Time-Space
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- Existence of optimal controls for SPDE with locally monotone coefficients
- Controlled measure-valued martingales: a viscosity solution approach
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
- Viscosity solutions of the eikonal equation on the Wasserstein space
- Representation of random variables as Lebesgue integrals
- Well-posedness for Hamilton-Jacobi equations on the Wasserstein space on graphs
- Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
- Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Robust Portfolio Choice with Sticky Wages
- Optimal control in linear-quadratic stochastic advertising models with memory
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
- Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise
- A stochastic maximum principle for control problems constrained by the stochastic Navier-Stokes equations
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
- Some Connections Between Stochastic Mechanics, Optimal Control, and Nonlinear Schrödinger Equations
- On the stabilization of a kinetic model by feedback-like control fields in a Monte Carlo framework
- Stochastic Dirichlet-Poisson problem on Hilbert spaces
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- Viscosity Solutions for McKean–Vlasov Control on a Torus
- Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations
- Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
- Linear stochastic processes on networks and low rank graph limits
- An optimal advertising model with carryover effect and mean field terms
- BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
- Adjoint-based calibration of nonlinear stochastic differential equations
- Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
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