Semilinear kolmogorov equations and applications to stochastic optimal control

Applied Mathematics and Optimization

Volumn 51, Issue 2, 2005, Pages 201-250

  Masiero, Federica ^a  

^a POLITECNICO DI MILANO   (Italy)

Author keywords

Hamilton Jacobi Bellman equation; Infinite dimensional stochastic processes; Stochastic optimal control

Indexed keywords

LINEAR EQUATIONS; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING; RANDOM PROCESSES; SET THEORY; WAVE EQUATIONS;

HAMILTON-JACOBI-BELLMAN EQUATIONS; INFINITE-DIMENSIONAL STOCHASTIC PROCESSES; PARABOLIC EQUATIONS; STOCHASTIC OPTIMAL CONTROL PROBLEMS;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 17444395616     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-004-0810-6     Document Type: Article

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