Semilinear Kolmogorov equations and applications to stochastic optimal control
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Publication:2386416
DOI10.1007/s00245-004-0810-6zbMath1083.35143MaRDI QIDQ2386416
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
Hamilton-Jacobi-Bellman equation; mild solution; semilinear parabolic differential equations; controlled stochastic partial differential equations
35K55: Nonlinear parabolic equations
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
35R60: PDEs with randomness, stochastic partial differential equations
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