Stochastic Optimal Control in Infinite Dimension Dynamic Programming and HJB Equations /

• Main Authors: Fabbri, Giorgio (Author), Gozzi, Fausto (Author), Święch, Andrzej (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Series: Probability Theory and Stochastic Modelling, 82
• Subjects: Mathematics.; Functional analysis.; Partial differential equations.; System theory.; Calculus of variations.; Probabilities.; Calculus of Variations and Optimal Control; Optimization.; Probability Theory and Stochastic Processes.; Partial Differential Equations.; Systems Theory, Control.; Functional Analysis.

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general...

Table of Contents:

• Preface
• 1.Preliminaries on stochastic calculus in infinite dimensions
• 2.Optimal control problems and examples
• 3.Viscosity solutions
• 4.Mild solutions in spaces of continuous functions
• 5.Mild solutions in L2 spaces
• 6.HJB Equations through Backward Stochastic Differential Equations (by M. Fuhrman and G. Tessitore)
• Appendix A, B, C, D, E
• Bibliography.