Semilinear elliptic partial differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. These results are applied to a stochastic optimal control problem with infinite horizon. Applications to controlled stochastic heat and wave equations are given.
Masiero, F. (2007). Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces. APPLIED MATHEMATICS AND OPTIMIZATION, 55(3), 285-326 [10.1007/s00245-006-0864-3].
Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces
MASIERO, FEDERICA
2007
Abstract
Semilinear elliptic partial differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. These results are applied to a stochastic optimal control problem with infinite horizon. Applications to controlled stochastic heat and wave equations are given.
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