Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces

DOI10.1137/140966873zbMath1307.93456arXiv1404.6543OpenAlexW2022125645MaRDI QIDQ5244639

Giuseppina Guatteri, Gianmario Tessitore

Publication date: 27 March 2015

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

Full work available at URL: https://arxiv.org/abs/1404.6543

zbMATH Keywords

Hilbert spacesRiccati equationlinear quadratic optimal controlstochastic coefficientsbackward stochastic differential equations in infinite dimensions

Mathematics Subject Classification ID

Heat equation (35K05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Applications of operator theory to differential and integral equations (47N20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

Stochastic maximum principle for optimal control of partial differential equations driven by white noise ⋮ Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions ⋮ Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients ⋮ Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application ⋮ Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems ⋮ Peng's Maximum Principle for Stochastic Partial Differential Equations ⋮ Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations