Stochastic Optimal Control in Infinite Dimension
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dynamic programmingviscosity solutionsHamilton Jacobi Bellman equationsstochastic optimal control in infinite dimensional spaces
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs in connection with control and optimization (35Q93) Dynamic programming in optimal control and differential games (49L20) 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) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
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Cited in
(only showing first 100 items - show all)- HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition
- Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems
- Positivity of mild solutions to stochastic evolution equations with an application to forward rates
- Internal habits formation and optimality
- Remarks on the vanishing viscosity process of state-constraint Hamilton-Jacobi equations
- Minimum energy with infinite horizon: from stationary to non-stationary states
- Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
- Control problems for fractional-order systems: formalism of Hamilton-Jacobi equations and methods for constructing optimal feedback strategies
- Stochastic optimal transport and Hamilton-Jacobi-Bellman equations on the set of probability measures
- Leveraging viscous Hamilton-Jacobi PDEs for uncertainty quantification in scientific machine learning
- A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
- Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
- Ergodic control of McKean-Vlasov systems on the Wasserstein space
- Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
- On mean field games in infinite dimension
- Path-dependent equations and viscosity solutions in infinite dimension
- Existence of Optimal Control for Nonlinear Fokker–Planck Equations in \(\boldsymbol{L^1(\mathbb{R}^d)}\).
- Optimal control of convective Brinkman-Forchheimer equations: dynamic programming equation and viscosity solutions
- Viscosity solutions for controlled McKean-Vlasov jump-diffusions
- Viscosity solutions of path-dependent PDEs with randomized time
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
- Existence of viscosity solutions to abstract Cauchy problems via nonlinear semigroups
- Linear-quadratic mean field games in Hilbert spaces
- 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
- Viscosity Solutions for Obstacle Problems on Wasserstein Space
- Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
- Finite dimensional projections of HJB equations in the Wasserstein space
- The randomization method in stochastic optimal control
- 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
- Approximation of optimal feedback controls for stochastic reaction-diffusion equations
- Optimal control of Newtonian fluids in a stochastic environment
- Viscosity solutions of centralized control problems in measure spaces
- Optimal control of stochastic delay differential equations: optimal feedback controls
- Data-driven stochastic game theoretic differential dynamic programming
- Optimal regional control for a class of semilinear time-fractional diffusion systems with distributed feedback
- Strong error estimates for the space-time discretization of a stochastic linear quadratic control problem with control in the diffusion
- Hilbert space-valued LQ mean field games: an infinite-dimensional analysis
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- Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
- Stochastic and spatio-temporal models in understanding the extinction, persistence and control of a within-host viral dynamics
- Error estimates of finite element methods for the nonlinear backward stochastic Stokes equations
- Lifting partial smoothing to solve HJB equations and stochastic control problems
- Strong-viscosity solutions: classical and path-dependent PDEs
- Robust control of parabolic stochastic partial differential equations under model uncertainty
- Representation of stochastic optimal control problems with delay in the control variable
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- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
- Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
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- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- Existence of optimal controls for SPDE with locally monotone coefficients
- Forward and backward stochastic differential equations with normal constraints in law
- Deterministic control of stochastic reaction-diffusion equations
- Mean viability theorems and second-order Hamilton-Jacobi 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
- On a class of exponential changes of measure for stochastic PDEs
- Controlled measure-valued martingales: a viscosity solution approach
- Sparse optimal stochastic control
- State constrained control problems in Banach lattices and applications
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Stochastic verification theorem for semilinear infinite dimensional stochastic control systems
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
- Optimization problems governed by systems of PDEs with uncertainties
- Stochastic optimal control in Hilbert spaces: \(C^{1,1}\) regularity of the value function and optimal synthesis via viscosity solutions
- Portfolio liquidation under factor uncertainty
- 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
- Optimal control of third grade fluids with multiplicative noise
- Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
- Well-posedness of Hamilton-Jacobi equations in the Wasserstein space: non-convex Hamiltonians and common noise
- Viscosity solutions to HJB equations for boundary-noise and boundary-control problems
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Singular limit of BSDES and optimal control of two scale systems with jumps in infinite dimensional spaces
- Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space
- Zero-sum stochastic differential games of generalized McKean-Vlasov type
- On a class of infinite-dimensional singular stochastic control problems
- Wage rigidity and retirement in optimal portfolio choice
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Optimal control in linear-quadratic stochastic advertising models with memory
- Path-dependent Hamilton-Jacobi equations in infinite dimensions
- Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
- A singular infinite-dimensional Hamilton-Jacobi-Bellman equation arising from a storage problem
- Singular limit of two-scale stochastic optimal control problems in infinite dimensions by vanishing noise regularization
- Stochastic optimal control in infinite dimensions with state constraints
- Stochastic differential games of mean-field dynamics and second-order Bellman-Isaacs equations on the Wasserstein space
- A stochastic maximum principle for control problems constrained by the stochastic Navier-Stokes equations
- 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 comparison principle based on couplings of partial integro-differential operators
- Quenched mass transport of particles toward a target
- Stochastic optimal control with delay in the control. II: Verification theorem and optimal feedbacks
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
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