In this study, the dynamic programming techniques are used to treat several quadratic control problems in relation to an infinite dimensional affine stochastic equation. To treat stochastic systems governed by partial differential equations, the A and C variables of the equation are allowed to be unbounded. The typical situation covered is the one in which A is a second order elliptic differential operator and C is a first order differential operators.
Tessitore, G. (1998). Infinite horizon, ergodic and periodic control for a stochastic infinite-dimensional affine equation. JOURNAL OF MATHEMATICAL SYSTEMS, ESTIMATION, AND CONTROL, 8(4), 475-478.
Infinite horizon, ergodic and periodic control for a stochastic infinite-dimensional affine equation
TESSITORE, GIANMARIO
1998
Abstract
In this study, the dynamic programming techniques are used to treat several quadratic control problems in relation to an infinite dimensional affine stochastic equation. To treat stochastic systems governed by partial differential equations, the A and C variables of the equation are allowed to be unbounded. The typical situation covered is the one in which A is a second order elliptic differential operator and C is a first order differential operators.
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