HJB equations in infinite dimension with locally Lipschitz Hamiltonian and unbounded terminal condition
RICHOU, Adrien
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
RICHOU, Adrien
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
< Reduce
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Language
en
Article de revue
This item was published in
Journal of Differential Equations. 2014-09-15, vol. 257, n° 6, p. 1989-2034
Elsevier
English Abstract
We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to the derivative of the value function, and ...Read more >
We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to the derivative of the value function, and the final condition is not bounded. This allows to study stochastic optimal control problems for suitable controlled state equations with unbounded control processes. The results are applied to a controlled wave equation.Read less <
Origin
Hal imported