Generalized solutions of HJB equations applied to stochastic control on Hilbert space

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• 作者：Ahmed ; N.U.
• 关键词：93E20 ; 49J27 ; 49K45 ; Stochastic systems ; HJB equation ; Hilbert spaces ; Optimal feedback controls
• 刊名：Nonlinear Analysis
• 出版年：2003
• 出版时间：August, 2003
• 年：2003
• 卷：54
• 期：3
• 页码：495-523
• 全文大小：270 K

文摘

In this paper we prove the existence of Borel measurable optimal control laws for infinite-dimensional nonstationary stochastic control problems on Hilbert space. This is based on some recent results on existence of generalized solutions of HJB equations on Hilbert space L₂(H,μ), where μ is a suitable reference measure on H. For illustration some examples are presented.