Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
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stochastic boundary control problemssecond order Hamilton-Jacobi-Bellman equations in infinite dimensionunbounded control operatorsmoothing properties of transition semigroupsstochastic control of delay equation with delay in the control
Markov semigroups and applications to diffusion processes (47D07) Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Stochastic integral equations (60H20)
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Cited in
(10)- Intrinsic difficulties in stochastic control of unstable convolution operators on Z
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- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- Generalized Solutions in Nonlinear Stochastic Control Problems
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- Stochastic Control Problems with Unbounded Control Operators: solutions through generalized derivatives
- Optimal control of -dimensional stochastic systems via generalized solutions of HJB equations
- Optimality conditions for parabolic stochastic optimal control problems with boundary controls
- Lifting partial smoothing to solve HJB equations and stochastic control problems
- Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
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