This last chapter of the book completes the picture of the main methods used to study second-order HJB equations in Hilbert spaces and related optimal control problems by presenting a survey of results that can be achieved with the techniques of Backward SDEs in infinite dimension.
Fuhrman, M., Tessitore, G. (2017). HJB Equations Through Backward Stochastic Differential Equations. In Stochastic Optimal Control in Infinite Dimension (pp. 685-781). Springer International Publishing [10.1007/978-3-319-53067-3_6].
HJB Equations Through Backward Stochastic Differential Equations
Tessitore, G.
2017
Abstract
This last chapter of the book completes the picture of the main methods used to study second-order HJB equations in Hilbert spaces and related optimal control problems by presenting a survey of results that can be achieved with the techniques of Backward SDEs in infinite dimension.
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