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

DOI10.1007/S00245-006-0864-3MaRDI QIDQ996064zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(19)

• Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
• ε-optimal control of random parabolic differential equations by an elliptic approximation
• A Bismut-Elworthy formula for quadratic BSDEs
• Ergodic Boundary/Point Control of Stochastic Semilinear Systems
• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
• Optimal control problem for stochastic evolution equations in Hilbert spaces
• scientific article; zbMATH DE number 3906975 (Why is no real title available?)
• HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
• Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
• scientific article; zbMATH DE number 1254178 (Why is no real title available?)
• Stochastic Optimal Control in Infinite Dimension
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
• scientific article; zbMATH DE number 3954799 (Why is no real title available?)
• Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces
• The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
• Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
• Semilinear Kolmogorov equations and applications to stochastic optimal control
• Mild solutions of semilinear elliptic equations in Hilbert spaces

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