Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces

DOI10.1007/S00245-006-0864-3zbMATH Open1128.93057OpenAlexW2097677382MaRDI QIDQ996064FDOQ996064

Authors: Federica Masiero 

Publication date: 11 September 2007

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-006-0864-3

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationsemilinear elliptic equationsstochastic control in infinite dimensions

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (19)

• The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
• Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
• Title not available (Why is that?)
• Mild solutions of semilinear elliptic equations in Hilbert spaces
• Ergodic Boundary/Point Control of Stochastic Semilinear Systems
• Title not available (Why is that?)
• Stochastic Optimal Control in Infinite Dimension
• HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Semilinear Kolmogorov equations and applications to stochastic optimal control
• Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
• Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces
• ε-optimal control of random parabolic differential equations by an elliptic approximation
• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
• A Bismut-Elworthy formula for quadratic BSDEs
• Optimal control problem for stochastic evolution equations in Hilbert spaces
• Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
• Title not available (Why is that?)
• Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing

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