2 papers
math.OC2024
Singular limit of BSDEs and optimal control of two scale systems with jumps in infinite dimensional spaces
Elena Bandini, Giuseppina Guatteri, Gianmario Tessitore
The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component a…
math.OC2014
Reflected BSDEs and optimal control and stopping for infinite-dimensional systems
Marco Fuhrman, Federica Masiero, Gianmario Tessitore
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 ref…