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- W1969052444 abstract "We study backward stochastic Riccati equations (BSREs) arising in quadratic optimal control problems with infinite dimensional stochastic differential state equations. We allow the coefficients, both in the state equation and in the cost, to be random. In such a context BSREs are backward stochastic differential equations existing in a non-Hilbert space and involving quadraticnonlinearities. We propose two different notions of solutions to BSREs and prove, for both of them, existence and uniqueness results. We also show that such solutions allow us to perform the synthesis of the optimal control. Finally we apply our results to the optimal control of a delay equation and of a wave equation with random damping." @default.
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- W1969052444 date "2005-01-01" @default.
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- W1969052444 title "On the Backward Stochastic Riccati Equation in Infinite Dimensions" @default.
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- W1969052444 doi "https://doi.org/10.1137/s0363012903425507" @default.
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