DYNAMIC-PROGRAMMING EQUATIONS OF STOCHASTIC OPTIMAL-CONTROL IN BANACH-SPACE

被引：0
|
作者：
ZHU, QX
AHMED, NU
机构：
[1] UNIV OTTAWA, DEPT MATH, OTTAWA, ON K1N 6N5, CANADA
[2] UNIV OTTAWA, DEPT ELECT ENGN, OTTAWA, ON K1N 6N5, CANADA
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 1995年 / 13卷 / 03期
关键词：
D O I：
10.1080/07362999508809404
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we study the dynamic programming equation (Bellman equation) in Banach space, arising from optimal control problem for stochastic systems driven by a cylindrical Brownian motion, a generalization of white noise in infinite dimensions. A direct method which was introduced by Da Prato in [3,1988] is further developed to prove the existence of mild solutions for the semilinear parabolic equations.
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页码：369 / 387
页数：19
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