Relationships Between the Maximum Principle and Dynamic Programming for Infinite Dimensional Stochastic Control Systems

TL;DR

This paper explores the relationship between Pontryagin's maximum principle and dynamic programming in infinite-dimensional stochastic control systems, establishing new links especially in nonsmooth cases using relaxed transposition solutions.

Contribution

It develops a novel connection between the maximum principle and dynamic programming for infinite-dimensional stochastic systems, including nonsmooth cases with relaxed transposition solutions.

Findings

Established dynamic programming principle without martingale solutions.

Connected superdifferentials and subdifferentials to adjoint equations.

Analyzed both smooth and nonsmooth value functions.

Abstract

Pontryagin type maximum principle and Bellman's dynamic programming principle serve as two of the most important tools in solving optimal control problems. There is a huge literature on the study of relationship between them. The main purpose of this paper is to investigate the relationships between Pontryagin type maximum principle and dynamic programming principle for control systems governed by stochastic evolution equations in infinite dimensional space, with the control variables appearing into both the drift and the diffusion terms. To do so, we first establish dynamic programming principle for those systems without employing the martingale solutions. Then we establish the desired relationships in both cases that value function associated is smooth and nonsmooth. For the nonsmooth case, in particular, by employing the relaxed transposition solution, we discover the connection between the superdifferentials and subdifferentials of value function and the first-order and second-order adjoint equations.