Semilinear parabolic differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. Applications to stochastic optimal control problems are studied by solving the associated Hamilton-Jacobi-Bellman equation. These results are applied to some controlled stochastic partial differential equations.

Masiero, F. (2005). Semilinear Kolmogorov equations and applications to stochastic optimal control. APPLIED MATHEMATICS AND OPTIMIZATION, 51(2), 201-250 [10.1007/s00245-004-0810-6].

Semilinear Kolmogorov equations and applications to stochastic optimal control

MASIERO, FEDERICA
2005

Abstract

Semilinear parabolic differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. Applications to stochastic optimal control problems are studied by solving the associated Hamilton-Jacobi-Bellman equation. These results are applied to some controlled stochastic partial differential equations.
Articolo in rivista - Articolo scientifico
stochastic optimal control, Hamilton Jacobi Bellman equation, infinite-dimensional stochastic processes
English
2005
51
2
201
250
none
Masiero, F. (2005). Semilinear Kolmogorov equations and applications to stochastic optimal control. APPLIED MATHEMATICS AND OPTIMIZATION, 51(2), 201-250 [10.1007/s00245-004-0810-6].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/267
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