Stochastic Optimal Control in Infinite Dimension
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dynamic programmingviscosity solutionsHamilton Jacobi Bellman equationsstochastic optimal control in infinite dimensional spaces
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs in connection with control and optimization (35Q93) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
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Cited in
(only showing first 100 items - show all)- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- Existence of optimal controls for SPDE with locally monotone coefficients
- Forward and backward stochastic differential equations with normal constraints in law
- Deterministic control of stochastic reaction-diffusion equations
- Mean viability theorems and second-order Hamilton-Jacobi equations
- A concise introduction to control theory for stochastic partial differential equations
- On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs
- On a class of exponential changes of measure for stochastic PDEs
- Controlled measure-valued martingales: a viscosity solution approach
- Sparse optimal stochastic control
- State constrained control problems in Banach lattices and applications
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Stochastic verification theorem for semilinear infinite dimensional stochastic control systems
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
- Optimization problems governed by systems of PDEs with uncertainties
- Stochastic optimal control in Hilbert spaces: \(C^{1,1}\) regularity of the value function and optimal synthesis via viscosity solutions
- Portfolio liquidation under factor uncertainty
- Viscosity solutions of the eikonal equation on the Wasserstein space
- Representation of random variables as Lebesgue integrals
- Well-posedness for Hamilton-Jacobi equations on the Wasserstein space on graphs
- Optimal control of third grade fluids with multiplicative noise
- Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
- Well-posedness of Hamilton-Jacobi equations in the Wasserstein space: non-convex Hamiltonians and common noise
- Viscosity solutions to HJB equations for boundary-noise and boundary-control problems
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Singular limit of BSDES and optimal control of two scale systems with jumps in infinite dimensional spaces
- Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space
- Zero-sum stochastic differential games of generalized McKean-Vlasov type
- On a class of infinite-dimensional singular stochastic control problems
- Wage rigidity and retirement in optimal portfolio choice
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Optimal control in linear-quadratic stochastic advertising models with memory
- Path-dependent Hamilton-Jacobi equations in infinite dimensions
- Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
- A singular infinite-dimensional Hamilton-Jacobi-Bellman equation arising from a storage problem
- Singular limit of two-scale stochastic optimal control problems in infinite dimensions by vanishing noise regularization
- Stochastic optimal control in infinite dimensions with state constraints
- Stochastic differential games of mean-field dynamics and second-order Bellman-Isaacs equations on the Wasserstein space
- A stochastic maximum principle for control problems constrained by the stochastic Navier-Stokes equations
- Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
- Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise
- A comparison principle based on couplings of partial integro-differential operators
- Quenched mass transport of particles toward a target
- Stochastic optimal control with delay in the control. II: Verification theorem and optimal feedbacks
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Optimal control of nonlinear stochastic differential equations on Hilbert spaces
- A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays
- HJB equations and stochastic control on half-spaces of Hilbert spaces
- Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces
- Finite dimensional approximations of Hamilton-Jacobi-Bellman equations in spaces of probability measures
- Semilinear Feynman–Kac formulae for B -continuous viscosity solutions
- Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
- Dynamic programming of the stochastic 2D-Navier-Stokes equations forced by Lévy noise
- Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
- Stochastic optimal control and simulations with application to the cashew nut sector in Senegal
- Optimal control of McKean-Vlasov equations with controlled stochasticity
- Linear quadratic optimal control problems for stochastic evolution equations in infinite horizon
- A stochastic model of economic growth in time-space
- Convex monotone semigroups and their generators with respect to -convergence
- A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes
- On generators of transition semigroups associated to semilinear stochastic partial differential equations
- Distributed optimal control models in environmental economics: a review
- A general convergence result for viscosity solutions of Hamilton-Jacobi equations and non-linear semigroups
- Approximative policy iteration for exit time feedback control problems driven by stochastic differential equations using tensor train format
- Optimal control for uncertain random continuous-time systems
- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
- Some Connections Between Stochastic Mechanics, Optimal Control, and Nonlinear Schrödinger Equations
- Monotone solutions of the master equation for mean field games with idiosyncratic noise
- Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
- On the stabilization of a kinetic model by feedback-like control fields in a Monte Carlo framework
- Stochastic Dirichlet-Poisson problem on Hilbert spaces
- Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- On the Navier-Stokes equations and the Hamilton-Jacobi-Bellman equation on the group of volume preserving diffeomorphisms
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- Restoring uniqueness to mean-field games by randomizing the equilibria
- Viscosity Solutions for McKean–Vlasov Control on a Torus
- Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations
- Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
- Linear stochastic processes on networks and low rank graph limits
- A dynamic theory of spatial externalities
- BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
- Optimal advertising and product durability decisions in new product diffusion
- Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
- Optimal investment with vintage capital: equilibrium distributions
- Deep-control of memory via stochastic optimal control and deep learning
- Robust portfolio choice with sticky wages
- An optimal advertising model with carryover effect and mean field terms
- Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Non-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes
- Observer-based event-triggered optimal control for unknown nonlinear stochastic multi-agent systems with input constraints
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- On approximations of stochastic optimal control problems with an application to climate equations
- Stochastic maximum principle for systems driven by local martingales with spatial parameters
- Adjoint-based calibration of nonlinear stochastic differential equations
- Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
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