Optimal Control of Unbounded Functional Stochastic Evolution Systems in Hilbert Spaces: Second-Order Path-dependent HJB Equation

Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert spaces. The notion of viscosity solution without B-continuity is introduced in the sense of Crandall and Lions, and is shown to coincide with the classical solutions and to satisfy a stability property. The value functional is proved to be the unique continuous viscosity solution to the associated PHJB equation, without assuming any B-continuity on the coefficients. In particular, in the Markovian case, our result provides a new theory of viscosity solutions to the Hamilton-Jacobi-Bellman equation for optimal control of stochastic evolutionary equations -- driven by a linear unbounded operator -- in a Hilbert space, and removes the B-continuity assumption on the coefficients, which was initially introduced for first-order equations by Crandall and Lions (see J. Func. Anal. 90 (1990), 237-283; 97 (1991), 417-465), and was subsequently used by Swiech (Comm. Partial Differential Equations 19 (1994), 1999-2036) and Fabbri, Gozzi, and Swiech (Probability Theory and Stochastic Modelling 82, 2017, Springer, Berlin).
Comment: 113 pages. arXiv admin note: text overlap with arXiv:2009.05367