A semi-linear backward parabolic Cauchy problem with unbounded coefficients of Hamilton-Jacobi-Bellman type and applications to optimal control (Q496116)

The author studies the backward parabolic Cauchy problem \[ D_{t}v(t,x)+Av(t,x)=\psi (x,G(x)\nabla v(t,x)),\quad t\in[ 0, T),\quad x\in \mathbb{R}^{N}, \] \[ v(T,x)=\varphi (x),\quad x\in \mathbb{R}^{N}, \] where \(A\) is the uniformly elliptic differential operator defined by \[ A f(x)=\frac{1}{2} Tr[G(x)G(x)D^{2}_{x} f(x) ] +\langle B(x),\nabla f(x)\rangle \] with \(G:\mathbb{R}^{N}\rightarrow \mathbb{R}^{N}\times\mathbb{R}^{N}\), \(B:\mathbb{R}^{N}\rightarrow \mathbb{R}^{N}\). Here, \(\psi\) is a continuous function and \(\varphi\) is a bounded and continuous function in \(\mathbb{R}^{N}.\) Under suitable assumptions on the coefficients of the operator \(A\), the author proves an existence and uniqueness result of the mild solution to the problem under consideration. Afterwards, via backward stochastic differential equations, he shows that a mild solution is indeed the value function of a controlled system and that the feedback law is verified.