HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition |
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Authors: | Federica Masiero Adrien Richou |
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Affiliation: | 1. Dipartimento di Matematica e Applicazioni, Università di Milano Bicocca, via Cozzi 55, 20125 Milano, Italy;2. Univ. Bordeaux, IMB, UMR 5251, F-33400 Talence, France;3. CNRS, IMB, UMR 5251, F-33400 Talence, France |
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Abstract: | We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to the derivative of the value function, and the final condition is not bounded. This allows to study stochastic optimal control problems for suitable controlled state equations with unbounded control processes. The results are applied to a controlled wave equation. |
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