Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
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second order Hamilton-Jacobi-Bellman equations in infinite dimensionsmoothing properties of transition semigroupsstochastic boundary control problemsstochastic control of delay equation with delay in the controlunbounded control operator
PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Markov semigroups and applications to diffusion processes (47D07) Dynamic programming in optimal control and differential games (49L20) Stochastic integral equations (60H20) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20)
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Cited in
(12)- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
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- Lifting partial smoothing to solve HJB equations and stochastic control problems
- Lifting and partial smoothing for stationary HJB equations and related control problems in infinite dimensions
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