CodiceQDD 179
TitoloWell Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
Autore/iGuatteri, G.; Tessitore, G.
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AbstractWe prove existence and uniqueness of the mild solution of an infi nite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of the semigroup generated by the unbounded operator involved in the equation. Then the results will be applied to characterize the value function and optimal feedback law for a infi nite dimensional, linear quadratic control problem with stochastic coefficients.