Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian
classification
🧮 math.PR
keywords
bellmancontinuouscontrolequationshamiltonhamiltonianjacobiquadratic
read the original abstract
We consider Hamilton Jacobi Bellman equations in an inifinite dimensional Hilbert space, with quadratic (respectively superquadratic) hamiltonian and with continuous (respectively lipschitz continuous) final conditions. This allows to study stochastic optimal control problems for suitable controlled Ornstein Uhlenbeck process with unbounded control processes.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.