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.
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