SIAM Journal on Control and Optimization, Vol.32, No.1, 170-175, 1994
On the Existence of Optimal Controls of Hilbert Space-Valued Diffusions
An optimal control problem is studied for a Hilbert space-valued diffusion. Existence of an optimal control in the class of relaxed controls is proved. As a tool, the factorization method is used. Also, a simple example is given.