Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
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Publication:5889015
DOI10.1137/22M1474679MaRDI QIDQ5889015FDOQ5889015
Authors: Federica Masiero, Fausto Gozzi 
Publication date: 26 April 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.04305
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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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- Generalized Solutions in Nonlinear Stochastic Control Problems
- An optimal advertising model with carryover effect and mean field terms
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