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

DOI10.1137/17M1113801MaRDI QIDQ4599722zbMATH OpenOpenAlexFDO

Authors Giorgio Fabbri, Francesco Russo

Publication date 4 January 2018

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

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

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)

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.

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Cited in

(8)

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

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