We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the existence and uniqueness of a mild solution to the associated HJB equation. This result forms the basis for the proof of the Verification Theorem, which is the subject of ongoing research and will provide a sufficient condition for optimality.
Mild solutions of HJB equations associated with cylindrical stable L ́evy noise in infinite dimensions,
Enrico PriolaMembro del Collaboration Group
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In corso di stampa
Abstract
We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the existence and uniqueness of a mild solution to the associated HJB equation. This result forms the basis for the proof of the Verification Theorem, which is the subject of ongoing research and will provide a sufficient condition for optimality.File in questo prodotto:
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