Stochastic optimal control in Hilbert spaces: C^1,1 regularity of the value function and optimal synthesis via viscosity solutions
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Publication:6966527
dynamic programmingHamilton-Jacobi-Bellman equationinfinite dimensionoptimal synthesisstochastic delay equationsstochastic optimal controlstochastic reaction-diffusion equationsverification theoremviscosity solution
Stochastic functional-differential equations (34K50) Reaction-diffusion equations (35K57) Fractional partial differential equations (35R11) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Hamilton-Jacobi equations in optimal control and differential games (49L12) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal feedback synthesis (49N35) Control/observation systems in abstract spaces (93C25) Optimal stochastic control (93E20)
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