The existence and uniqueness of the solution for nonlinear Kolmogorov equations

DOI10.1016/J.JDE.2012.08.026zbMATH Open1251.93146OpenAlexW1975075059MaRDI QIDQ713330FDOQ713330

Authors: Jianjun Zhou, Bin Liu 

Publication date: 26 October 2012

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

Full work available at URL: https://doi.org/10.1016/j.jde.2012.08.026

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zbMATH Keywords

Malliavin calculusbackward stochastic differential equationsoptimal controlKolmogorov equationsstochastic delay evolution equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (17)

• Title not available (Why is that?)
• Title not available (Why is that?)
• The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
• Kolmogorov equation for solutions of Cauchy problems for a class of linear evolution equations
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• On existence and uniqueness of a modified carrying simplex for discrete Kolmogorov systems
• A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays
• Uniqueness of the stationary wave for the extended Fisher-Kolmogorov equation
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Stochastic maximum principle for SPDEs with delay
• Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces
• On existence and uniqueness properties for solutions of stochastic fixed point equations
• On a question related to Kolmogorov forward equation
• Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
• A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
• Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control

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