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

DOI10.1214/AOP/1029867132zbMATH Open1017.60076OpenAlexW2171586580MaRDI QIDQ1872298FDOQ1872298

Authors: 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

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zbMATH Keywords

Malliavin calculusfeedback controlstochastic controlbackward stochastic differential equations in infinite dimensionKolmogorov equation in infinite dimension

Mathematics Subject Classification ID

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

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