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Applied Mathematics and Optimization, Vol.51, No.2, 201-250, 2005
Semilinear Kolmogorov equations and applications to stochastic optimal control
Semilinear parabolic differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. Applications to stochastic optimal control problems are studied by solving the associated Hamilton-Jacobi-Bellman equation. These results are applied to some controlled stochastic partial differential equations.
Keywords:stochastic optimal control;Hamilton-Jacobi-Bellman equation;infinite-dimensional stochastic processes