Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces
type: Item
instance of: scholarly article
title: Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces
zbMATH Open document ID: 1128.93057
author: Federica Masiero
published in: Applied Mathematics and Optimization
publication date: 2007-09-11T00:00:00Z
review text: Solutions of a semilinear elliptic equation involving the generator of a Hilbert space valued Markov process are established under conditions on the directional derivatives of the associated transition semigroup. This is applied to the Hamilton-Jacobi-Bellman equation for a controlled stochastic evolution equation with infinite horizon discounted cost. Controlled stochastic nonlinear heat equation and wave equation are treated as special cases.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 35J60
zbMATH DE Number: 5189616
zbMATH Keywords: semilinear elliptic equations
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: stochastic control in infinite dimensions
MaRDI profile type: Publication
full work available at URL: s00245-006-0864-3
OpenAlex ID: W2097677382
DOI: 10.1007/S00245-006-0864-3
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description: scientific article; zbMATH DE number 5189616