Reflected BSDEs, optimal control and stopping for infinite-dimensional systems

DOI10.1051/COCV/2016059zbMATH Open1375.60106arXiv1411.3897OpenAlexW2964195474MaRDI QIDQ4594367FDOQ4594367

Authors: Marco Fuhrman, Federica Masiero, Gianmario Tessitore 

Publication date: 23 November 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Abstract: We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework. The results are applied to an optimal control and stopping problem.

Full work available at URL: https://arxiv.org/abs/1411.3897

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zbMATH Keywords

obstacle problemreflected backward stochastic differential equationsoptimal stopping in infinite dimension

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Cited In (3)

• Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• On a Class of Infinite-Dimensional Singular Stochastic Control Problems
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem

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