A semi-linear backward parabolic Cauchy problem with unbounded coefficients of Hamilton-Jacobi-Bellman type and applications to optimal control

DOI10.1007/s00245-014-9270-4zbMath1331.35192arXiv1402.0331OpenAlexW2005150983MaRDI QIDQ496116

Davide Addona

Publication date: 17 September 2015

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

Full work available at URL: https://arxiv.org/abs/1402.0331

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlunbounded coefficientsforward-backward stochastic differential equationssemi-linear parabolic equationsweighted gradient uniform estimates

Mathematics Subject Classification ID

General theory of partial differential operators (47F05) Ordinary differential equations and systems with randomness (34F05) Hamilton-Jacobi theories (49L99) Semilinear parabolic equations (35K58)

Related Items (1)

On Schrödinger type operators with unbounded coefficients: generation and heat kernel estimates

Cites Work

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