Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control
Journal Article
·
· Applied Mathematics and Optimization
- Dipartimento di Matematica, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133 Milano (Italy)
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.
- OSTI ID:
- 21067447
- Journal Information:
- Applied Mathematics and Optimization, Vol. 51, Issue 2; Other Information: DOI: 10.1007/s00245-004-0810-6; Copyright (c) 2005 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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