Wednesday, May 27, 2020 - 12:15 in ZOOM - Video Conference
Optimal control of nonlinear stochastic differential equations on Hilbert spaces
A talk in the Bielefeld Stochastic Afternoon series by
Deng Zhang from Shanghai Jiao Tong University
| Abstract: |
Please contact stochana@math.uni-bielefeld.de for Meeting-ID and Password if you want to participate.
In this talk we consider the optimal control problems governed by nonlinear stochastic
equations on a Hilbert space with nonconvex payoff. We prove the existence and first-order
necessary condition of closed loop optimal controls for the above control problem. These
results are applicable to several stochastic equations, including singular dissipative stochastic
equations, stochastic reaction-diffusion equations as well as stochastic porous media
equations. The approach is mainly based on solving the optimal control problems through the
corresponding Kolmogorov equations and martingale problems, the relationship with the
theory of (generalized) Dirichlet forms will be also shown. This is a joint work with Viorel
Barbu and Michael Röckner.
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