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:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Riflesse_Corrette_Set_2015 - mandato a rivista.pdf
accesso aperto
Tipologia:
Post-print, accepted manuscript ecc. (versione accettata dall'editore)
Dimensione
175.96 kB
Formato
Adobe PDF
|
175.96 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
