Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces

DOI10.1007/s00245-006-0864-3zbMath1128.93057OpenAlexW2097677382MaRDI QIDQ996064

Federica Masiero

Publication date: 11 September 2007

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-006-0864-3

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsemilinear elliptic equationsstochastic control in infinite dimensions

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (9)

The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces ⋮ Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing ⋮ Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces ⋮ HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition ⋮ A Bismut-Elworthy formula for quadratic BSDEs ⋮ Optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ Mild solutions of semilinear elliptic equations in Hilbert spaces

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