Description

• Title:
  A dual representation result for value functions in stochastic control of infinite dimensional groups
• Creator:
  Barbu, Viorel;
  Sîrbu, Mihai
• Description:
  We study here the problem of dual representation of the value functions associated to linear-convex stochastic control problems in infinite dimensional Hilbert spaces. Since the dual state runs backwards in time, it turns out that the dual representation has the meaning of a classical (Markov) control problem only if the primal linear state equation is driven by the generator of a group. In the general case, a dual representation of the value function still holds, but such a representation cannot be reduced to solving a dual Hamilton-Jacobi-Bellman equation.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2019 Topological Methods in Nonlinear Analysis
• Date:
  2019.11.09
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion;
  Recenzowany artykuł
• Language:
  English
• Source:
  Topological Methods in Nonlinear Analysis; Vol 54, No 2B (December 2019); 907 - 916;
  1230-3429
• Publisher:
  Nicolaus Copernicus University in Toruń
• Relation: https://apcz.umk.pl/TMNA/article/view/TMNA.2019.054/23624 ;https://apcz.umk.pl/TMNA/article/view/TMNA.2019.054/23625
• Subject:
  value function;
  Legendre transform;
  duality;
  Primary;
  49N15;
  93E20;
  Secondary;
  93C05;
  93C25
• Identifier: https://apcz.umk.pl/TMNA/article/view/TMNA.2019.054
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  other