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Stochastic optimal control in infinite dimension : dynamic programming and HJB equations /

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Bibliographic Details
Main Authors: Fabbri, Giorgio
Group Author: Gozzi, Fausto; Święch, Andrezej; Fuhrman, Marco; Tessitore, Gianmario
Published: Springer Nature,
Publisher Address: Cham, Switzerland :
Publication Dates: [2017]
Literature type: Book
Language: English
Series: Probability theory and stochastic modelling, volume 82
Subjects:
Stochastic processes > Mathematical models
Stochastic models
Hamiltonian systems
Hamilton-Jacobi equations
Hilbert space
Probabilities
Mathematical optimization
Carrier Form: xxiii, 916 pages ; 25 cm.
Bibliography: Includes bibliographical references (pages 875-899) and indexes.
ISBN: 9783319530666
3319530666
Index Number: QA274
CLC: O211.6
Call Number: O211.6/F113
Contents: Preliminaries on stochastic calculus in infinite dimensions -- Optimal control problems and examples -- Viscosity solutions -- Mild solutions in spaces of continuous functions -- Mild solutions in L² spaces -- HJB equations through backward stochastic differential equations / M. Fuhrman and G. Tessitore -- Appendix A: Notation and function spaces -- Appendix B: Linear operators and C₀-semigroups -- Appendix C: Parabolic equations with non-homogenous boundary conditions -- Appendix D: Functions, derivatives and approximations -- Appendix E: Viscosity solutions in [hollow]R[superscript]N.

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