Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations
DOI10.1051/cocv/2023086arXiv2307.08882MaRDI QIDQ6192289
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Publication date: 11 March 2024
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2307.08882
viscosity solutionstochastic optimal controlbackward stochastic partial differential equationstochastic path-dependent Hamilton-Jacobi equation
Dynamic programming in optimal control and differential games (49L20) Monotone operators and generalizations (47H05) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Operator partial differential equations (= PDEs on finite-dimensional spaces for abstract space valued functions) (35R20) Viscosity solutions to PDEs (35D40)
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