Second order Hamilton-Jacobi equations in Hilbert spaces and stochastic optimal control

被引：0

作者：

Cozzi, F ^{[1
]}

机构：

[1] Univ Roma La Sapienza, Dipartimento Matemat Decisioni Econ Finanziarie &, I-00161 Rome, Italy

来源：

STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS AND APPLICATIONS | 2002年 / 227卷

关键词：

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper is devoted to a brief survey of known results on second order HarrLilton-Jacobi (HJ from now on) equations in Hilbert spaces related to stochastic optimal control problems. More precisely the paper focus on: 1. stating results of existence and uniqueness of regular solutions (i.e. at least Frechet differentiable in the space variable) for semilinear second order HJ equation; 2. when the HJ equation is associated to a stochastic optimal control problem, applying these results to the associated stochastic optimal control problems to obtain verification theorems and feedback formulae for the optimal control strategies.

引用

页码：255 / 285

页数：31

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