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arXiv · 1411.3897

Reflected BSDEs and optimal control and stopping for infinite-dimensional systems

Marco Fuhrman·Federica Masiero·Gianmario Tessitore
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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.

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Marco Fuhrman, Federica Masiero, Gianmario Tessitore. 2014-11-14. Reflected BSDEs and optimal control and stopping for infinite-dimensional systems. https://arxiv.org/abs/1411.3897

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