HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition

DOI10.1137/17M1113801zbMATH Open1383.35234arXiv1701.07992OpenAlexW2950249691MaRDI QIDQ4599722FDOQ4599722

Authors: Giorgio Fabbri, Francesco Russo 

Publication date: 4 January 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: A stochastic optimal control problem driven by an abstract evolution equation in a separable Hilbert space is considered. Thanks to the identification of the mild solution of the state equation as $u$-weak Dirichlet process, the value processes is proved to be a real weak Dirichlet process. The uniqueness of the corresponding decomposition is used to prove a verification theorem. Through that technique several of the required assumptions are milder than those employed in previous contributions about non-regular solutions of Hamilton-Jacobi-Bellman equations.

Full work available at URL: https://arxiv.org/abs/1701.07992

Recommendations

• Optimal control of \(\infty\)-dimensional stochastic systems via generalized solutions of HJB equations
• Generalized solutions of HJB equations applied to stochastic control on Hilbert space
• Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
• HJB equations and stochastic control on half-spaces of Hilbert spaces
• A stochastic HJB equation for optimal control of forward-backward SDEs
• Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces
• Existence and optimal controls for Hilfer fractional Sobolev-type stochastic evolution equations
• Stochastic Optimal Control in Infinite Dimension
• Pathwise Stochastic Control Problems and Stochastic HJB Equations

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic evolution equationsgeneralized Fukushima decompositionstochastic optimal control in Hilbert spacesweak Dirichlet processes in infinite dimension

Mathematics Subject Classification ID

PDEs in connection with control and optimization (35Q93) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Optimal stochastic control (93E20)

Cites Work

• Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
• Title not available (Why is that?)
• Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem
• Stochastic Equations in Infinite Dimensions
• Stochastic integration in UMD Banach spaces
• Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations
• Stochastic evolution equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
• Generalized covariation for Banach space valued processes, Itō formula and applications
• On a class of Markov type semigroups in spaces of uniformly continuous and bounded functions
• Stochastic Optimal Control in Infinite Dimension
• Infinite dimensional weak Dirichlet processes and convolution type processes
• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
• Weak Dirichlet processes with a stochastic control perspective
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal control of a stochastic heat equation with boundary-noise and boundary-control
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Stochastic control and BSDEs with quadratic growth
• Title not available (Why is that?)
• Geographical structure and convergence: a note on geometry in spatial growth models
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• Regular solutions of second-order stationary Hamilton-Jacobi equations
• Optimal control problems for stochastic reaction-diffusion systems with non-Lipschitz coefficients
• Stationary Hamilton-Jacobi equations in Hilbert spaces and applications to a stochastic optimal control problem
• Title not available (Why is that?)
• Generalized solutions of HJB equations applied to stochastic control on Hilbert space

Cited In (8)

• Optimal control in linear-quadratic stochastic advertising models with memory
• Stochastic Optimal Control in Infinite Dimension
• Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
• HJB equations in infinite dimensions under weak regularizing properties
• Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
• Weak Dirichlet processes with a stochastic control perspective
• Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems

This page was built for publication: HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4599722)