Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions

We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the existence and uniqueness of a mild solution to the associated HJB equation. This result forms the basis for the proof of the Verification Theorem, which is the subject of ongoing research and will provide a sufficient condition for optimality.