In this paper we consider the optimal control of Hilbert space-valued infinite-dimensional Piecewise Deterministic Markov Processes (PDMP) and we prove that the corresponding value function can be represented via a Feynman–Kac type formula through the solution of a constrained Backward Stochastic Differential Equation. A fundamental step consists in showing that the corresponding integro-differential Hamilton–Jacobi–Bellman equation has a unique viscosity solution, by proving a suitable comparison theorem. We apply our results to the control of a PDMP Hodgkin-Huxley model with spatial component.
Bandini, E., Thieullen, M. (2021). Optimal Control of Infinite-Dimensional Piecewise Deterministic Markov Processes: A BSDE Approach. Application to the Control of an Excitable Cell Membrane. APPLIED MATHEMATICS AND OPTIMIZATION, 84(2), 1549-1603 [10.1007/s00245-020-09687-y].
Optimal Control of Infinite-Dimensional Piecewise Deterministic Markov Processes: A BSDE Approach. Application to the Control of an Excitable Cell Membrane
Bandini, E;
2021
Abstract
In this paper we consider the optimal control of Hilbert space-valued infinite-dimensional Piecewise Deterministic Markov Processes (PDMP) and we prove that the corresponding value function can be represented via a Feynman–Kac type formula through the solution of a constrained Backward Stochastic Differential Equation. A fundamental step consists in showing that the corresponding integro-differential Hamilton–Jacobi–Bellman equation has a unique viscosity solution, by proving a suitable comparison theorem. We apply our results to the control of a PDMP Hodgkin-Huxley model with spatial component.| File | Dimensione | Formato | |
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