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, Journal Name: Applied Mathematics and Optimization Journal Issue: 2 Vol. 51; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations
Infinite Horizon Stochastic Optimal Control Problems with Degenerate Noise and Elliptic Equations in Hilbert Spaces
A Semi-linear Backward Parabolic Cauchy Problem with Unbounded Coefficients of Hamilton–Jacobi–Bellman Type and Applications to Optimal Control
Journal Article
·
Sun May 15 00:00:00 EDT 2005
· Applied Mathematics and Optimization
·
OSTI ID:21067443
Infinite Horizon Stochastic Optimal Control Problems with Degenerate Noise and Elliptic Equations in Hilbert Spaces
Journal Article
·
Tue May 15 00:00:00 EDT 2007
· Applied Mathematics and Optimization
·
OSTI ID:21064187
A Semi-linear Backward Parabolic Cauchy Problem with Unbounded Coefficients of Hamilton–Jacobi–Bellman Type and Applications to Optimal Control
Journal Article
·
Sat Aug 15 00:00:00 EDT 2015
· Applied Mathematics and Optimization
·
OSTI ID:22469891