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

DOI10.3934/DCDS.2012.32.223MaRDI QIDQ765048zbMATHOpenAlexFDO

Authors Federica Masiero

Publication date 19 March 2012

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

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

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)

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.

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