Semilinear Kolmogorov Equations and Applications to Stochastic Optimal
Control |
| |
| Authors: | Federica Masiero |
| |
| Institution: | (1) Dipartimento di Matematica, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133 Milano, Italy |
| |
| Abstract: | 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. |
| |
| Keywords: | Stochastic optimal control Hamilton– Jacobi– Bellman equation Infinite-dimensional
stochastic processes |
| 本文献已被 SpringerLink 等数据库收录！ |
