A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces

DOI10.1007/s00030-020-00639-7zbMath1443.60058arXiv1903.09052OpenAlexW3035102311MaRDI QIDQ2190004

Federica Masiero, Davide Addona, Elena Bandini

Publication date: 17 June 2020

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.09052

zbMATH Keywords

Hamilton Jacobi Bellman equationquadratic backward stochastic differential equationnonlinear Bismut-Elworthy formulastochastic heat equation in 2 and 3 dimensions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs in connection with control and optimization (35Q93)

Related Items (4)

\(L^2\)-theory for transition semigroups associated to dissipative systems ⋮ Schauder regularity results in separable Hilbert spaces ⋮ On generators of transition semigroups associated to semilinear stochastic partial differential equations ⋮ State Constrained Control Problems in Banach Lattices and Applications

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