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math.OC2025
Finite Dimensional Projections of HJB Equations in the Wasserstein Space
Andrzej ÅwiÄch, Lukas Wessels
This paper continues the study of controlled interacting particle systems with common noise started in [W. Gangbo, S. Mayorga and A. ÅwiÄch, SIAM J. Math. Anal. 53 (2021), no. 2,…
math.OC2025
Stochastic optimal control in Hilbert spaces: regularity of the value function and optimal synthesis via viscosity solutions
Filippo de Feo, Andrzej ÅwiÄch, 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…
math.OC2024
Optimal control of stochastic delay differential equations: Optimal feedback controls
Filippo de Feo, Andrzej ÅwiÄch
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions o…