Journées de Probabilités 2007

Federica Masiero

Stochastic optimal control problems in Banach spaces

We consider stochastic optimal control problems related to a stochastic controlled evolution equation in a Banach space E. The control problem is treated in its weak formulation, by mean of the backward stochastic differential equation approach. By this approach, also the Hamilton Jacobi Bellman equation is solved.

Finally, we present some applications, in particular to controlled stochastic heat equations.