most citedStochastic optimal control in Hilbert spaces: regularity of the value function and optimal synthesis via viscosity solutions

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math.OC2023★ 1 cited

Stochastic optimal control in Hilbert spaces: regularity of the value function and optimal synthesis via viscosity solutions

Filippo de Feo, Andrzej Święch, Lukas Wessels

We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Li…