Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions

DOI10.1090/MEMO/1467arXiv1901.00978OpenAlexW2907539937MaRDI QIDQ6204948FDOQ6204948

Authors:

Publication date: 10 April 2024

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Abstract: It is a longstanding unsolved problem to characterize the optimal feedbacks for general SLQs (i.e., stochastic linear quadratic control problems) with random coefficients in infinite dimensions; while the same problem but in finite dimensions was just addressed in a recent work [36]. This paper is devoted to giving a solution to this problem under some assumptions which can be verified for several interesting concrete models. More precisely, under these assumptions, we establish the equivalence between the existence of optimal feedback operator for infinite dimensional SLQs and the solvability of the corresponding operator-valued, backward stochastic Riccati equations. A key contribution of this work is to introduce a suitable notion of solutions (i.e., transposition solutions to the aforementioned Riccati equations), which plays a crucial role in both the statement and the proof of our main result.

Full work available at URL: https://arxiv.org/abs/1901.00978

zbMATH Keywords

infinite dimensionsbackward stochastic Riccati equationstochastic linear quadratic problemtransposition solutionoptimal feedback operator

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25)

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic partial differential equations. A modeling, white noise functional approach
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• A financial market with interacting investors: does an equilibrium exist?
• Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
• Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing
• Fluctuation exponent of the KPZ/stochastic Burgers equation
• Solving the KPZ equation
• Viscosity Solutions of Hamilton-Jacobi Equations
• Title not available (Why is that?)
• Stochastic Hamilton–Jacobi–Bellman Equations
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• One-Parameter Semigroups for Linear Evolution Equations
• Backward Stochastic Differential Equations in Finance
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• Indefinite Stochastic Riccati Equations
• Existence of solutions to a class of indefinite stochastic Riccati equations
• General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
• On a Matrix Riccati Equation of Stochastic Control
• Title not available (Why is that?)
• Title not available (Why is that?)
• Invariant measures for Burgers equation with stochastic forcing
• Survey of Measurable Selection Theorems
• A theory of regularity structures
• Stochastic Equations in Infinite Dimensions
• Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory
• Matrix Riccati equations in control and systems theory
• The Schrödinger and Riccati equations
• Stochastic integration in UMD Banach spaces
• Riccati differential equations
• Spectral theory of block operator matrices and applications
• Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension three
• Title not available (Why is that?)
• Metric foliations and curvature
• Title not available (Why is that?)
• Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients
• Title not available (Why is that?)
• Stochastic partial differential equations
• Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• On the Backward Stochastic Riccati Equation in Infinite Dimensions
• On backward stochastic evolution equations in Hilbert spaces and optimal control
• Dynamic Programming Approach to Stochastic Evolution Equations
• Numerical solutions of backward stochastic differential equations: a finite transposition method
• Title not available (Why is that?)
• Control theory and optimization. I: Homogeneous spaces and the Riccati equation in the calculus of variations. Transl. from the Russian by S. A. Vakhrameev
• Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
• Semiclassical analysis for diffusions and stochastic processes
• Title not available (Why is that?)
• Random motion of strings and related stochastic evolution equations
• Stochastic linear quadratic regulators with indefinite control weight costs. II
• The Stochastic Linear Quadratic Control Problem with Singular Estimates
• Energy solutions of KPZ are unique
• A Matrix Differential Equation of Riccati Type
• Title not available (Why is that?)
• Well-posedness of backward stochastic differential equations with general filtration
• Transposition method for backward stochastic evolution equations revisited, and its application
• Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming
• Stochastic Neuron Models
• A Survey of Infinite-Dimensional Filtering
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
• Mathematical Control Theory for Stochastic Partial Differential Equations
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
• Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
• Characterization of optimal feedback for stochastic linear quadratic control problems
• Nonlinear filtering and stochastic control. Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981
• Quantum theory from a nonlinear perspective. Riccati equations in fundamental physics
• Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
• Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
• Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• Title not available (Why is that?)
• Partial Approximate Controllability for Linear Stochastic Control Systems
• Factorization of boundary value problems using the invariant embedding method
• Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

This page was built for publication: Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6204948)