HJB equations in infinite dimensions under weak regularizing properties
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Publication:2397772
Abstract: We solve in mild sense Hamilton Jacobi Bellman equations, both in an infinite dimensional Hilbert space and in a Banach space, with lipschitz Hamiltonian and lipschitz continuous final condition, and asking only a weak regularizing property on the transition semigroup of the corresponding state equation. The results are applied to solve stochastic optimal control problems; the models we can treat include a controlled stochastic heat equation in space dimension one and with control and noise on a subdomain.
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Cited in
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- DGM: a deep learning algorithm for solving partial differential equations
- A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
- Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian
- HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
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