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

• 成果类型: Article
• 署名作者: Fuhrman, M; Tessitore, G
• 署名单位: Polytechnic University of Milan; University of Parma
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2002
• 页码: 1397-1465
• 关键词: hamilton-jacobi equations; VISCOSITY SOLUTIONS; 2nd-order equations; hilbert-spaces; adapted solution; REGULARITY; uniqueness; calculus; Spde

摘要

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.