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Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control

✍ Scribed by Federica Masiero

Publisher
Springer
Year
2004
Tongue
English
Weight
530 KB
Volume
51
Category
Article
ISSN
0095-4616

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In this paper we consider optimal control of stochastic semilinear equations with Lipschitz continuous drift and cylindrical noise. We show existence and uniqueness Ž . up to an additive constant of solutions to the stationary Hamilton᎐Jacobi equation associated with the cost functional given by the