Semilinear Kolmogorov equations and applications to stochastic optimal control

DOI10.1007/s00245-004-0810-6zbMath1083.35143OpenAlexW2169696263MaRDI QIDQ2386416

Federica Masiero

Publication date: 23 August 2005

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-004-0810-6

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmild solutionsemilinear parabolic differential equationscontrolled stochastic partial differential equations

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)

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