Résumé
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.
| langue originale | Anglais |
|---|---|
| Pages (de - à) | 4072-4091 |
| Nombre de pages | 20 |
| journal | SIAM Journal on Control and Optimization |
| Volume | 55 |
| Numéro de publication | 6 |
| Les DOIs | |
| état | Publié - 1 janv. 2017 |
| Modification externe | Oui |
Empreinte digitale
Examiner les sujets de recherche de « HJB equations in infinite dimension and optimal control of stochastic evolution equations via eneralized fukushima decomposition ». Ensemble, ils forment une empreinte digitale unique.Contient cette citation
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver