Document Type

Article

Abstract

We consider the strong solution of a semi linear HJB equation associated with a stochastic optimal control in a Hilbert space H: By strong solution we mean a solution in a L2(μ,H)-Sobolev space setting. Within this framework, the present problem can be treated in a similar fashion to that of a finite-dimensional case. Of independent interest, a related linear problem with unbounded coefficient is studied and an application to the stochastic control of a reaction-diffusion equation will be given.

Disciplines

Analysis | Probability

Comments

© 1997. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. The final published version may be accessed at https://dx.doi.org/10.1016/S0362-546X(96)00043-0

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