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HJB equations in infinite dimension with locally Lipschitz Hamiltonian and unbounded terminal condition

hal.structure.identifierDipartimento di Matematica e Applicazioni [Milano]
dc.contributor.authorMASIERO, Federica
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
dc.contributor.authorRICHOU, Adrien
dc.date.issued2014-09-15
dc.identifier.issn0022-0396
dc.description.abstractEnWe 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.
dc.language.isoen
dc.publisherElsevier
dc.title.enHJB equations in infinite dimension with locally Lipschitz Hamiltonian and unbounded terminal condition
dc.typeArticle de revue
dc.identifier.doi10.1016/j.jde.2014.05.026
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalJournal of Differential Equations
bordeaux.page1989-2034
bordeaux.volume257
bordeaux.issue6
bordeaux.peerReviewedoui
hal.identifierhal-00915046
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00915046v1
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