We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework. The results are applied to an optimal control and stopping problem
Fuhrman, M., Masiero, F., Tessitore, G. (2017). Reflected BSDEs, optimal control and stopping for infinite-dimensional systems. ESAIM. COCV, 23(4), 1419-1445 [10.1051/cocv/2016059].
Reflected BSDEs, optimal control and stopping for infinite-dimensional systems
Masiero, F;Tessitore, G.
2017
Abstract
We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework. The results are applied to an optimal control and stopping problem
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