Optimal Control of Unbounded Stochastic Evolution Systems in Hilbert Spaces

Abstract

Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is introduced for the second-order HJB equation in the sense of Crandall and Lions, and is shown to coincide with the classical solutions and to satisfy a stability property. The value functional is proved to be the unique continuous viscosity solution to the second-order HJB equation, with the coefficients being not necessarily B-continuous. Our result provides a new theory of viscosity solutions to the HJB equation for optimal control of stochastic evolutionary equations-driven by a linear unbounded operator-in a Hilbert space, and removes the B-continuity assumption on the coefficients which is used in the existing literature.