The existence and uniqueness of the solution for nonlinear Kolmogorov equations
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Publication:713330
DOI10.1016/j.jde.2012.08.026zbMath1251.93146OpenAlexW1975075059MaRDI QIDQ713330
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
optimal controlMalliavin calculusbackward stochastic differential equationsKolmogorov equationsstochastic delay evolution equations
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (8)
The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces ⋮ Stochastic maximum principle for SPDEs with delay ⋮ A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces ⋮ Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control
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