Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition

DOI10.1016/j.spa.2006.04.008zbMath1115.49023arXivmath/0604327OpenAlexW2592346698MaRDI QIDQ855922

Francesco Russo, Fausto Gozzi

Publication date: 7 December 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0604327

zbMATH Keywords

stochastic optimal controlverification theoremsFukushima--Dirichlet decompositionHamilton--Jacobi--Bellman (HJB) equationsstochastic calculus via regularization

Mathematics Subject Classification ID

Feedback control (93B52) Markov semigroups and applications to diffusion processes (47D07) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Regularity of solutions in optimal control (49N60) Synthesis problems (93B50) Groups and semigroups of linear operators (47D03) Stochastic systems in control theory (general) (93E03) Stochastic integrals (60H05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Transition functions, generators and resolvents (60J35)

Related Items (18)

Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula ⋮ GENERALIZED COVARIATION AND EXTENDED FUKUSHIMA DECOMPOSITION FOR BANACH SPACE-VALUED PROCESSES: APPLICATIONS TO WINDOWS OF DIRICHLET PROCESSES ⋮ A Class of Stochastic Games and Moving Free Boundary Problems ⋮ Weak Dirichlet processes with a stochastic control perspective ⋮ Infinite dimensional weak Dirichlet processes and convolution type processes ⋮ Weak Dirichlet processes with jumps ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Reaching nirvana with a defaultable asset? ⋮ HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ The covariation for Banach space valued processes and applications ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Entry deterrence by timing rather than overinvestment in a strategic real options framework ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion ⋮ Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.

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