A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces

DOI10.1007/S00030-020-00639-7MaRDI QIDQ2190004zbMATH OpenOpenAlexFDO

Authors Davide Addona, Elena Bandini, Federica Masiero

Publication date 17 June 2020

Published in NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.09052

zbMATH Keywords

Hamilton Jacobi Bellman equationquadratic backward stochastic differential equationnonlinear Bismut-Elworthy formulastochastic heat equation in 2 and 3 dimensions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs in connection with control and optimization (35Q93) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: We consider a Backward Stochastic Differential Equation (BSDE for short) in a Markovian framework for the pair of processes $(Y,Z)$, with generator with quadratic growth with respect to $Z$. The forward equation is an evolution equation in an abstract Banach space. We prove an analogue of the Bismut-Elworty formula when the diffusion operator has a pseudo-inverse not necessarily bounded and when the generator has quadratic growth with respect to $Z$. In particular, our model covers the case of the heat equation in space dimension greater than or equal to 2. We apply these results to solve semilinear Kolmogorov equations for the unknown $v$, with nonlinear term with quadratic growth with respect to $ablav$ and final condition only bounded and continuous, and to solve stochastic optimal control problems with quadratic growth.

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Cited in

(8)

• Schauder estimates for stationary and evolution equations associated to stochastic reaction-diffusion equations driven by colored noise
• Differentiability in infinite dimension and the Malliavin calculus
• \(L^2\)-theory for transition semigroups associated to dissipative systems
• The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces
• Schauder regularity results in separable Hilbert spaces
• State constrained control problems in Banach lattices and applications
• A generalization of the Bismut-Elworthy formula
• On generators of transition semigroups associated to semilinear stochastic partial differential equations

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