Reflected BSDEs and optimal control and stopping for infinite-dimensional systems
Optimization and Control
2014-11-17 v1
Abstract
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 reflected BSDEs in an infinite dimensional Markovian framework. The results are applied to an optimal control and stopping problem.
Keywords
Cite
@article{arxiv.1411.3897,
title = {Reflected BSDEs and optimal control and stopping for infinite-dimensional systems},
author = {Marco Fuhrman and Federica Masiero and Gianmario Tessitore},
journal= {arXiv preprint arXiv:1411.3897},
year = {2014}
}