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Stochastic impulse control of parabolic systems of Sobolev type

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Abstract

We consider the optimal impulse control problem for a system whose dynamics is described by a stochastic differential equation of Sobolev type. The coefficients of the equation are closed operators acting in Hilbert spaces. The system is parabolic by virtue of a bound imposed in the right half-plane on the resolvent of the characteristic operator pencil. The results are applied to stochastic partial differential equations of Sobolev type.

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Authors and Affiliations

  1. Kharkiv National University, Kharkiv, Ukraine

    L. A. Vlasenko & A. G. Rutkas

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  1. L. A. Vlasenko
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  2. A. G. Rutkas
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Original Russian Text © L.A. Vlasenko, A.G. Rutkas, 2011, published in Differentsial’nye Uravneniya, 2011, Vol. 47, No. 10, pp. 1482–1491.

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Vlasenko, L.A., Rutkas, A.G. Stochastic impulse control of parabolic systems of Sobolev type. Diff Equat 47, 1498–1507 (2011). https://doi.org/10.1134/S0012266111100132

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