Ergodic Control for Levy-Driven Linear Stochastic Equations in Hilbert Spaces

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F19%3A10402882" target="_blank" >RIV/00216208:11320/19:10402882 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=bbZ-.1nD05" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=bbZ-.1nD05</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00245-017-9447-8" target="_blank" >10.1007/s00245-017-9447-8</a>

Result language
angličtina
Original language name
Ergodic Control for Levy-Driven Linear Stochastic Equations in Hilbert Spaces
Original language description
In this paper, controlled linear stochastic evolution equations driven by square integrable Levy processes are studied in the Hilbert space setting. The control operator may be unbounded which makes the results obtained in the abstract setting applicable to parabolic SPDEs with boundary or point control. The first part contains some preliminary technical results, notably a version of Ito formula which is applicable to weak/mild solutions of controlled equations. In the second part, the ergodic control problem is solved: The feedback form of the optimal control and the formula for the optimal cost are found. As examples, various parabolic type controlled SPDEs are studied.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA15-08819S" target="_blank" >GA15-08819S: Stochastic Processes in Infinite Dimensional Spaces</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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