his paper deals with a family of stochastic control problems in Hilbert spaces which arises in many engineering/economic/financial applications (in particular the ones featuring boundary control and control of delay equations with delay in the control) and for which it is difficult to apply the dynamic programming approach due to the unboundedness of the control operator and to the lack of regularity of the underlying transition semigroup. We introduce a specific concept of partial derivative, designed for this situation, and we develop a method to prove that the associated HJB equation has a solution with enough regularity to find optimal controls in feedback form.
Gozzi, F., Masiero, F. (2023). Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 61(2), 586-619 [10.1137/22m1474679].
Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
Masiero F.
2023
Abstract
his paper deals with a family of stochastic control problems in Hilbert spaces which arises in many engineering/economic/financial applications (in particular the ones featuring boundary control and control of delay equations with delay in the control) and for which it is difficult to apply the dynamic programming approach due to the unboundedness of the control operator and to the lack of regularity of the underlying transition semigroup. We introduce a specific concept of partial derivative, designed for this situation, and we develop a method to prove that the associated HJB equation has a solution with enough regularity to find optimal controls in feedback form.
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