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The dynamic programming equation for stochastic optimal control in Hilbert spaces: a variational approach.

GORNI, Gianluca
1985
  • journal article

Periodico
STOCHASTICS
Abstract
The global existence of a pointwise solution to the Hamilton-Jacobi equation for totally observed controlled diffusions in Hilbert spaces is proved by studymg the corresponding control problem. The optimality principle for the control problem leads to local results, whilst an a priori bound is achieved by introducing a secondary minimization problem.
Archivio
http://hdl.handle.net/11390/666907
Diritti
metadata only access
Soggetti
  • Stochastic control

  • Hamilton-Jacobi equat...

  • Convex analysis

Visualizzazioni
4
Data di acquisizione
Apr 19, 2024
Vedi dettagli
google-scholar
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