A direct method for studying the dynamic programming equation for controlled diffusion processes in hilbert spaces

DOI10.1080/01630568108816104zbMath0482.49013MaRDI QIDQ3940374

Viorel Barbu, Giuseppe Da Prato

Publication date: 1981

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01630568108816104

zbMATH Keywords

Hilbert space; dynamic programming equation; optimal stochastic control; optimal feedback; existence and uniqueness of weak solutions

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93C20: Control/observation systems governed by partial differential equations

49K45: Optimality conditions for problems involving randomness

49J55: Existence of optimal solutions to problems involving randomness