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.
Articolo in rivista - Articolo scientifico
stochastic optimal control, stationary Hamilton-Jacobi-Bellman equations, infinite-dimensional stochastic processes
English
2007
55
3
285
326
none
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].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/270
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