Nonlinear kolmogorov equations in infinite dimensional spaces: The backward stochastic differential equations approach and applications to optimal control

Annals of Probability

Volumn 30, Issue 3, 2002, Pages 1397-1465

  Fuhrman, Marco ^a   Tessitore, Gianmario ^a  

^a POLITECNICO DI MILANO   (Italy)

Author keywords

Backward stochastic differential equations; Hamilton Jacobi Bellman equation; Partial differential equations in infinite dimensional spaces; Stochastic optimal control

Indexed keywords

EID: 0036630776     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1029867132     Document Type: Article

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