Lifting Partial Smoothing to Solve HJB Equations and Stochastic Control Problems

We study a family of stochastic control problems arising in typical applications (such as boundary control and control of delay equations with delay in the control) with the ultimate aim of finding solutions of the associated HJB equations, regular enough to find optimal feedback controls. These problems are difficult to treat since the underlying transition semigroups do not possess good smoothing properties or the so-called structure condition, which typically allows to apply the backward equations approach. In Gozzi and Masiero [SIAM J. Control Optim., 55 (2017), pp. 2981-3012; SIAM J. Control Optim., 55 (2017), pp. 3013-3038] and, more recently, Gozzi and Masiero [SIAM J. Control Optim., 61 (2023), pp. 586-619], we studied such problems, developing new partial smoothing techniques which allowed us to obtain the required regularity in the case when the cost functional is independent of the state variable. This is a somehow strong restriction which is not verified in most applications. In this paper (which can be considered a continuation of the research of the above papers), we develop a new approach to overcome this restriction. We extend the partial smoothing result to a wider class of functions which depend on the whole trajectory of the underlying semigroup, and we use this as a key tool to improve our regularity result for the HJB equation. The fact that such class depends on trajectories requires a nontrivial technical work, as we have to lift the original transition semigroup to a space of trajectories, defining a new ``high-level"" environment where our problems can be solved.

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Publication Details

Journal
SIAM Journal on Control and Optimization
Published
2025-05-07
DOI
https://doi.org/10.1137/23m1578450
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00

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article

Lifting Partial Smoothing to Solve HJB Equations and Stochastic Control Problems

Fausto Gozzi, Federica Masiero
SIAM Journal on Control and Optimization
Stochastic processes and financial applications
article

Lifting Partial Smoothing to Solve HJB Equations and Stochastic Control Problems

Fausto Gozzi, Federica Masiero
article en

Abstract

We study a family of stochastic control problems arising in typical applications (such as boundary control and control of delay equations with delay in the control) with the ultimate aim of finding solutions of the associated HJB equations, regular enough to find optimal feedback controls. These problems are difficult to treat since the underlying transition semigroups do not possess good smoothing properties or the so-called structure condition, which typically allows to apply the backward equations approach. In Gozzi and Masiero [SIAM J. Control Optim., 55 (2017), pp. 2981-3012; SIAM J. Control Optim., 55 (2017), pp. 3013-3038] and, more recently, Gozzi and Masiero [SIAM J. Control Optim., 61 (2023), pp. 586-619], we studied such problems, developing new partial smoothing techniques which allowed us to obtain the required regularity in the case when the cost functional is independent of the state variable. This is a somehow strong restriction which is not verified in most applications. In this paper (which can be considered a continuation of the research of the above papers), we develop a new approach to overcome this restriction. We extend the partial smoothing result to a wider class of functions which depend on the whole trajectory of the underlying semigroup, and we use this as a key tool to improve our regularity result for the HJB equation. The fact that such class depends on trajectories requires a nontrivial technical work, as we have to lift the original transition semigroup to a space of trajectories, defining a new ``high-level"" environment where our problems can be solved.

SIAM Journal on Control and OptimizationVol. 63(3)
Libera Università Internazionale degli Studi Sociali Guido Carli (IT), University of Milano-Bicocca (IT)
Ministero dell’Istruzione, dell’Università e della Ricerca, Gruppo Nazionale per l'Analisi Matematica, la Probabilità e le loro Applicazioni
Openalex Percentile: Top 87%
Stochastic processes and financial applications
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Lifting Partial Smoothing to Solve HJB Equations and Stochastic Control Problems — Fausto Gozzi, Federica Masiero · SIAM Journal on Control and Optimization (2025) | TGRS Research Map | TGRS