Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian

DOI10.3934/DCDS.2012.32.223zbMATH Open1235.60077arXiv1007.1882OpenAlexW3104881374MaRDI QIDQ765048FDOQ765048

Authors: Federica Masiero 

Publication date: 19 March 2012

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Abstract: We consider Hamilton Jacobi Bellman equations in an inifinite dimensional Hilbert space, with quadratic (respectively superquadratic) hamiltonian and with continuous (respectively lipschitz continuous) final conditions. This allows to study stochastic optimal control problems for suitable controlled Ornstein Uhlenbeck process with unbounded control processes.

Full work available at URL: https://arxiv.org/abs/1007.1882

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zbMATH Keywords

quadratic Hamiltonianstochastic optimal controlinfinite dimensionsHJB equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited In (9)

• Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
• A class of Hamilton-Jacobi equations with unbounded coefficients in Hilbert spaces
• Title not available (Why is that?)
• HJB equations in infinite dimensions under weak regularizing properties
• Microscopic derivations of several Hamilton-Jacobi equations in infinite dimensions, and large deviation of stochastic systems
• HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
• Ergodic type Bellman equations of first order with quadratic Hamiltonian
• A Bismut-Elworthy formula for quadratic BSDEs
• A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces

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