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 language | English |
|---|---|
| Pages (from-to) | 4072-4091 |
| Number of pages | 20 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 55 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 1 Jan 2017 |
| Externally published | Yes |
Keywords
- Generalized Fukushima decomposition
- Stochastic evolution equations
- Stochastic optimal control in Hilbert spaces
- Weak Dirichlet processes in infinite dimension
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