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HJB equations in infinite dimension and optimal control of stochastic evolution equations via eneralized fukushima decomposition

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Abstract

A stochastic optimal control problem driven by an abstract evolution equation in a separable Hilbert space is considered. Thanks to the identification of the mild solution of the state equation as a V-weak Dirichlet process, the value process is proved to be a real weak Dirichlet process. The uniqueness of the corresponding decomposition is used to prove a verification theorem. Through that technique several of the required assumptions are milder than those employed in previous contributions about nonregular solutions of Hamilton{Jacobi{Bellman equations.

Original languageEnglish
Pages (from-to)4072-4091
Number of pages20
JournalSIAM Journal on Control and Optimization
Volume55
Issue number6
DOIs
Publication statusPublished - 1 Jan 2017
Externally publishedYes

Keywords

  • Generalized Fukushima decomposition
  • Stochastic evolution equations
  • Stochastic optimal control in Hilbert spaces
  • Weak Dirichlet processes in infinite dimension

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