Optimality principle and synthesis for a stochastic control problem in hilbert spaces

DOI10.1080/17442508408833302MaRDI QIDQ3335663zbMATH OpenOpenAlexFDO

Authors Gianluca Gorni

Publication date 1984

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508408833302

zbMATH Keywords

value functionHilbert-valued linear stochastic systemminimization of a convex functional

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimality conditions for problems involving randomness (49K45) Synthesis problems (93B50) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Dissections and valuations (Hilbert's third problem, etc.) (52B45)

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Cites work

• scientific article; zbMATH DE number 3955816 (Why is no real title available?)
• scientific article; zbMATH DE number 3637702 (Why is no real title available?)
• scientific article; zbMATH DE number 3801925 (Why is no real title available?)
• Conjugate convex functions in optimal stochastic control
• Infinite dimensional linear systems theory

Cited in

(6)

• Stable synthesis of optimal control in stationary extremal problems
• scientific article; zbMATH DE number 24415 (Why is no real title available?)
• The dynamic programming equation for stochastic optical control in hilbert spaces: a variational approach
• scientific article; zbMATH DE number 3922509 (Why is no real title available?)
• scientific article; zbMATH DE number 818400 (Why is no real title available?)
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.

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