HJB equations in infinite dimensions under weak regularizing properties

DOI10.1007/S00028-015-0320-4zbMATH Open1361.93018arXiv1411.7236OpenAlexW2963159485MaRDI QIDQ2397772FDOQ2397772

Federica Masiero

Publication date: 23 May 2017

Published in: Journal of Evolution Equations (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1411.7236

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationsmild solutionstransition semigroupstochastic optimal control problemsLipschitz-Hamiltonian and Lipschitz continuous final conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)

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Cited In (4)

• DGM: a deep learning algorithm for solving partial differential equations
• The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces
• State Constrained Control Problems in Banach Lattices and Applications
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