Stochastic Optimal Control in Infinite Dimension
Fabbri, Giorgio / Gozzi, Fausto / ¿Wi¿Ch, Andrzej 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 introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of...