We consider Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with quadratic (respectively superquadratic) Hamiltonian and with continuous (respectively lipschitz continuous) final condition. This allows to study stochastic optimal control problems for suitable controlled state equations with unbounded control processes. The results are applied to controlled heat equations.

Masiero, F. (2012). Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS, 32(1), 223-263 [10.3934/dcds.2012.32.223].

Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian

MASIERO, FEDERICA
2012

Abstract

We consider Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with quadratic (respectively superquadratic) Hamiltonian and with continuous (respectively lipschitz continuous) final condition. This allows to study stochastic optimal control problems for suitable controlled state equations with unbounded control processes. The results are applied to controlled heat equations.
Articolo in rivista - Articolo scientifico
HJB equations, quadratic hamiltonian, stochastic optimal control, infinite dimensions
English
2012
32
1
223
263
open
Masiero, F. (2012). Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS, 32(1), 223-263 [10.3934/dcds.2012.32.223].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/28742
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