Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
Fuhrman, Marco
Ann. Probab., Tome 30 (2002) no. 1, p. 1397-1465 / Harvested from Project Euclid
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Solutions of semilinear parabolic differential equations in infinite dimensional spaces are obtained by means of forward and backward infinite dimensional stochastic evolution equations. Parabolic equations are intended in a mild sense that reveals to be suitable also towards applications to optimal control.
Publié le : 2002-07-14
Classification:  Backward stochastic differential equations,  partial differential equations in infinite dimensional spaces,  Hamilton--Jacobi--Bellman equation, stochastic optimal control,  60H30,  35R15,  93E20,  49L20 
@article{1029867132,
     author = {Fuhrman, Marco},
     title = {Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control},
     journal = {Ann. Probab.},
     volume = {30},
     number = {1},
     year = {2002},
     pages = { 1397-1465},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1029867132}
}

Fuhrman, Marco. Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control. Ann. Probab., Tome 30 (2002) no. 1, pp.  1397-1465. http://gdmltest.u-ga.fr/item/1029867132/