We consider stochastic optimal control problems in Banach spaces. These problems are related to nonlinear controlled equations with dissipative nonlinearity and are treated via the backward stochastic differential equation approach, which also allows us to solve, in a mild sense, Hamilton-Jacobi-Bellman equations in Banach spaces. We apply the results to controlled stochastic heat and wave equations with a cost functional that is well defined on continuous functions, and to delay equations in spaces of p-integrable functions.

Masiero, F. (2008). Stochastic optimal control problems and parabolic equations in Banach spaces. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 47(1), 251-300 [10.1137/050632725].

Stochastic optimal control problems and parabolic equations in Banach spaces

MASIERO, FEDERICA
2008

Abstract

We consider stochastic optimal control problems in Banach spaces. These problems are related to nonlinear controlled equations with dissipative nonlinearity and are treated via the backward stochastic differential equation approach, which also allows us to solve, in a mild sense, Hamilton-Jacobi-Bellman equations in Banach spaces. We apply the results to controlled stochastic heat and wave equations with a cost functional that is well defined on continuous functions, and to delay equations in spaces of p-integrable functions.
Articolo in rivista - Articolo scientifico
stochastic optimal control, infinite dimensional stochastic processes, Banach spaces, backward stochastic differential equations, Hamilton-Jacobi-Bellman equations
English
2008
47
1
251
300
none
Masiero, F. (2008). Stochastic optimal control problems and parabolic equations in Banach spaces. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 47(1), 251-300 [10.1137/050632725].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/281
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