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math.OC2022
HJB equations and stochastic control on half-spaces of Hilbert spaces
Alessandro Calvia, Gianluca Cappa, Fausto Gozzi +1
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we…
math.OC2018
Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
Alessandro Calvia
We consider an infinite horizon optimal control problem for a pure jump Markov process , taking values in a complete and separable metric space , with noise-free partial obse…