4 papers
Continuous Differentiability of the Value Function for Infinite-Dimensional Finite-Horizon Optimal Stopping and Related Variational Inequalities
Gabriele Bolli, Giorgio Ferrari
This paper studies finite-horizon optimal stopping problems for semilinear stochastic evolution equations in real, separable Hilbert spaces, together with their associated paraboli…
Projected Evolutionary Lifting and Well-Posedness of Stationary Hamilton-Jacobi-Bellman Equations in Infinite Dimensions
Gabriele Bolli, Fabian Fuchs
This paper establishes the existence and uniqueness of mild solutions to stationary Hamilton-Jacobi-Bellman (HJB) equations associated with infinite-horizon stochastic optimal cont…
Optimal control of stochastic Volterra integral equations with completely monotone kernels and stochastic differential equations on Hilbert spaces with unbounded control and diffusion operators
Gabriele Bolli, Filippo de Feo
The dynamic programming approach is one of the most powerful ones in optimal control. However, when dealing with optimal control problems of stochastic Volterra integral equations…
Lifting and partial smoothing for stationary HJB equations and related control problems in infinite dimensions
Gabriele Bolli, Fausto Gozzi
We study a family of stationary Hamilton-Jacobi-Bellman (HJB) equations in Hilbert spaces arising from stochastic optimal control problems. The main difficulties to treat such prob…