Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces

Giuseppina Guatteri; Gianmario Tessitore

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arXiv · 1404.6543

Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces

Giuseppina Guatteri·Gianmario Tessitore

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Abstract

We prove existence and uniqueness of the mild solution of an infinite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of the semigroup generated by the unbounded operator involved in the equation. Then the results will be applied to characterize the value function and optimal feedback law for a infinite dimensional, linear quadratic control problem with stochastic coefficients.

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Giuseppina Guatteri, Gianmario Tessitore. 2014-06-18. Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces. https://arxiv.org/abs/1404.6543

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