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

Marco Fuhrman

Type: Article

Publication Date: 2002-07-01

Citations: 194

DOI: https://doi.org/10.1214/aop/1029867132

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.

Locations

The Annals of Probability - View - PDF

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