A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension

DOI10.1137/140976091zbMath1382.35346OpenAlexW2964304505MaRDI QIDQ2810064

Pierre-Yves Madec, Ying Hu, Adrien Richou

Publication date: 31 May 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140976091

zbMATH Keywords

backward stochastic differential equations mild solutions large time behavior Ornstein-Uhlenbeck operator ergodic backward stochastic differential equations HJB equations in infinite dimension

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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