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

DOI10.1007/S00030-020-00639-7zbMATH Open1443.60058arXiv1903.09052OpenAlexW3035102311MaRDI QIDQ2190004FDOQ2190004

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)

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.

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

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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)

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Cited In (8)

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

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