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Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control · Study

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ArticleSemilinear Kolmogorov Equations and Applications to Stochastic Optimal Control

Federica Masiero2004

Article2004

Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control

Federica Masiero

36 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stability and Controllability of Differential Equations

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References

1999Continuous Martingales and Brownian Motion 2006An introduction to stochastic partial differential equations 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions 2001Second Order PDE’s in Finite and Infinite Dimension 1990Stochastic Evolution Systems: Linear Theory and Applications to Non-linear Filtering 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control 2001Second Order Pde's in Finite and Infinite Dimension: A Probabilistic Approach 1989Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation

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2023Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension 2017Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

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Year2004

Typearticle

Published2004-12-20

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-004-0810-6

openalex_workW2169696263

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