Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces (Q996064): Difference between revisions
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Revision as of 22:44, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces |
scientific article |
Statements
Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces (English)
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11 September 2007
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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.
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semilinear elliptic equations
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Hamilton-Jacobi-Bellman equation
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stochastic control in infinite dimensions
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