The existence and uniqueness of the solution for nonlinear Kolmogorov equations

DOI10.1016/J.JDE.2012.08.026MaRDI QIDQ713330zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• On uniqueness of solutions to nonlinear Fokker-Planck-Kolmogorov equations
• On the Cauchy Problem for a Nonlinear Kolmogorov Equation
• Uniqueness of probability solutions to nonlinear Fokker-Planck-Kolmogorov equation
• Existence and uniqueness of solutions for a class of nonlinear stochastic differential equations
• The Kolmogorov problem on uniqueness of probability solutions of a parabolic equation
• scientific article; zbMATH DE number 1775189
• Unique continuation estimates for the Kolmogorov equation in the whole space
• scientific article; zbMATH DE number 874297
• Uniqueness of solutions for the extended Fisher-Kolmogorov equation
• Existence and uniqueness of solutions for a class of nonlinear diffusion equations

Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• scientific article; zbMATH DE number 3936125 (Why is no real title available?)
• scientific article; zbMATH DE number 15045 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1341816 (Why is no real title available?)
• scientific article; zbMATH DE number 503099 (Why is no real title available?)
• scientific article; zbMATH DE number 696902 (Why is no real title available?)
• scientific article; zbMATH DE number 1032935 (Why is no real title available?)
• scientific article; zbMATH DE number 3801925 (Why is no real title available?)
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A generalized Haussmann's formula
• Adapted solution of a backward stochastic differential equation
• Anticipating Hilbert integrals with respect to a cylindrical Wiener process and associated stochastic calculus
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Backward Stochastic Differential Equations in Finance
• Ergodicity for Infinite Dimensional Systems
• Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Optimal control problems for stochastic delay evolution equations in Banach spaces
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem
• Second-Order Hamilton–Jacobi Equations in Infinite Dimensions
• Semilinear Kolmogorov equations and applications to stochastic optimal control
• Set-valued analysis
• Some Solvable Stochastic Control Problems With Delay
• Stochastic Equations in Infinite Dimensions
• Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces
• Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations

Cited in

(17)

• On existence and uniqueness properties for solutions of stochastic fixed point equations
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• On a question related to Kolmogorov forward equation
• scientific article; zbMATH DE number 3855602 (Why is no real title available?)
• Uniqueness of the stationary wave for the extended Fisher-Kolmogorov equation
• Stochastic maximum principle for SPDEs with delay
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• 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
• Kolmogorov equation for solutions of Cauchy problems for a class of linear evolution equations
• scientific article; zbMATH DE number 1001399 (Why is no real title available?)
• Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control
• On existence and uniqueness of a modified carrying simplex for discrete Kolmogorov systems
• The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
• Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces

This page was built for publication: The existence and uniqueness of the solution for nonlinear Kolmogorov equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q713330)