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

DOI10.1051/COCV/2016059MaRDI QIDQ4594367zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/1411.3897, http://hdl.handle.net/2434/472439

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)

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.

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Cited in

(5)

• Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• Applications of an infinite horizon BSDE's to an impulse control problem
• Application of doubly reflected BSDEs to an impulse control problem
• 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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