HJB equations in infinite dimensions under weak regularizing properties
Probability
2014-11-27 v1
Abstract
We solve in mild sense Hamilton Jacobi Bellman equations, both in an infinite dimensional Hilbert space and in a Banach space, with lipschitz Hamiltonian and lipschitz continuous final condition, and asking only a weak regularizing property on the transition semigroup of the corresponding state equation. The results are applied to solve stochastic optimal control problems; the models we can treat include a controlled stochastic heat equation in space dimension one and with control and noise on a subdomain.
Cite
@article{arxiv.1411.7236,
title = {HJB equations in infinite dimensions under weak regularizing properties},
author = {Federica Masiero},
journal= {arXiv preprint arXiv:1411.7236},
year = {2014}
}