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Singular Limit of Two Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization

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 نشر من قبل Giuseppina Guatteri
 تاريخ النشر 2021
  مجال البحث
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In this paper we study the limit of the value function for a two-scale, infinite-dimensional, stochastic controlled system with cylindrical noise and possibly degenerate diffusion. The limit is represented as the value function of a new reduced control problem (on a reduced state space). The presence of a cylindrical noise prevents representation of the limit by viscosity solutions of HJB equations, while degeneracy of diffusion coefficients prevents representation as a classical BSDE. We use a vanishing noise regularization technique.



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