We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework. The results are applied to an optimal control and stopping problem.
Reflected BSDEs, optimal control and stopping for infinite-dimensional systems / M. Fuhrman, F. Masiero, G. Tessitore. - In: ESAIM. COCV. - ISSN 1292-8119. - 23:4(2017), pp. 1419-1445. [10.1051/cocv/2016059]
Reflected BSDEs, optimal control and stopping for infinite-dimensional systems
M. FuhrmanPrimo
;
2017
Abstract
We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework. The results are applied to an optimal control and stopping problem.File in questo prodotto:
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