Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

DOI10.1214/aop/1029867132zbMath1017.60076OpenAlexW2171586580MaRDI QIDQ1872298

Marco Fuhrman, Gianmario Tessitore

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1029867132

zbMATH Keywords

stochastic controlMalliavin calculusfeedback controlbackward stochastic differential equations in infinite dimensionKolmogorov equation in infinite dimension

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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