A semi-linear backward parabolic Cauchy problem with unbounded coefficients of Hamilton-Jacobi-Bellman type and applications to optimal control

DOI10.1007/s00245-014-9270-4zbMath1331.35192arXiv1402.0331OpenAlexW2005150983MaRDI QIDQ496116

Davide Addona

Publication date: 17 September 2015

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

Full work available at URL: https://arxiv.org/abs/1402.0331

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlunbounded coefficientsforward-backward stochastic differential equationssemi-linear parabolic equationsweighted gradient uniform estimates

Mathematics Subject Classification ID

General theory of partial differential operators (47F05) Ordinary differential equations and systems with randomness (34F05) Hamilton-Jacobi theories (49L99) Semilinear parabolic equations (35K58)

Related Items (1)

On Schrödinger type operators with unbounded coefficients: generation and heat kernel estimates

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some classes of non-analytic Markov semigroups
• Pointwise gradient estimates in exterior domains
• Elliptic operators with unbounded diffusion coefficients in \(L^{2}\) spaces with respect to invariant measures
• Feller semigroups on \(\mathbb{R}^N\)
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Nonautonomous Kolmogorov equations in the whole space: a survey on recent results
• Compactness and invariance properties of evolution operators associated with Kolmogorov operators with unbounded coefficients
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Schauder theorems for linear elliptic and parabolic problems with unbounded coefficients in $ℝ^{n}$
• Estimates of the derivatives for parabolic operators with unbounded coefficients
• The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces
• Gradient estimates in parabolic problems with unbounded coefficients
• Gradient estimates for parabolic problems with unbounded coefficients in non convex unbounded domains
• Analytic semigroups and optimal regularity in parabolic problems
• Second order PDE's in finite and infinite dimension

This page was built for publication: A semi-linear backward parabolic Cauchy problem with unbounded coefficients of Hamilton-Jacobi-Bellman type and applications to optimal control