Singular Limit of BSDEs and Optimal Control of Two Scale Stochastic Systems in Infinite Dimensional Spaces

In this paper we study by probabilistic techniques the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is represented as the solution of a backward stochastic differential...

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Bibliographic Details
Published in:	Applied mathematics & optimization Vol. 83; no. 2; pp. 1025 - 1051
Main Authors:	Guatteri, Giuseppina, Tessitore, Gianmario
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.04.2021 Springer Nature B.V
Subjects:	Calculus of Variations and Optimal Control; Optimization Control Convergence Differential equations Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Numerical and Computational Physics Optimal control Probability Simulation Stochastic processes Stochastic systems Systems Theory Theoretical Stochastic equations in infinite dimensions Ergodic control BSDEs
ISSN:	0095-4616, 1432-0606
Online Access:	Get full text
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