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scientific article; zbMATH DE number 1779816
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scientific article; zbMATH DE number 1779816 |
Statements
23 February 2004
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existence and uniqueness
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survey
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second-order Hamilton-Jacobi equation in Hilbert spaces
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stochastic optimal control
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mild solution
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verification theorems
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feedback
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0.9098052978515624
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0.9073588848114014
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0.9002702236175537
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The paper is devoted to a brief survey of known results on second-order Hamilton-Jacobi equation in Hilbert spaces, related to stochastic optimal control problems. The author mainly treats the following subjects. 1. Existence and uniqueness results for Hamilton-Jacobi-Bellman equations. 2. Connection between the mild solution and the classical one. 3. Application of classical solutions to the stochastic optimal control problem in order to obtain verification theorems and feedback formulae for optimal control strategies. Examples, historical background and references on Hamilton-Jacobi equations in Hilbert spaces are given. For the entire collection see [Zbl 0986.00012].
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