Articlebronze2002

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

167 citations0/0 files storedThe Annals of Probability

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

Abstract

Solutions of semilinear parabolic differential equations in infinite dimensional spaces are obtained by means of forward and backward infinite dimensional stochastic evolution equations. Parabolic equations are intended in a mild sense that reveals to be suitable also towards applications to optimal control.

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References

2005Controlled Markov Processes and Viscosity Solutions 1990Adapted solution of a backward stochastic differential equation 2006The Malliavin Calculus and Related Topics 1997Backward Stochastic Differential Equations in Finance 1995The Malliavin Calculus and Related Topics 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 2007Forward-Backward Stochastic Differential Equations and their Applications 1988Stochastic calculus with anticipating integrands

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