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- W4384807751 abstract "This paper is devoted to the stochastic optimal control problem of infinite-dimensional differential systems allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases studied by Bayraktar and Keller [J. Funct. Anal. 275 (2018), 2096--2161], the value function turns out to be a random field on the path space and it is characterized by a stochastic path-dependent Hamilton-Jacobi (SPHJ) equation. A notion of viscosity solution is proposed and the value function is proved to be the unique viscosity solution to the associated SPHJ equation." @default.
- W4384807751 created "2023-07-20" @default.
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- W4384807751 date "2023-07-17" @default.
- W4384807751 modified "2023-09-26" @default.
- W4384807751 title "Optimal control of infinite-dimensional differential systems with randomness and path-dependence and stochastic path-dependent Hamilton-Jacobi equations" @default.
- W4384807751 doi "https://doi.org/10.48550/arxiv.2307.08882" @default.
- W4384807751 hasPublicationYear "2023" @default.
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