This last chapter of the book completes the picture of the main methods used to study second-order HJB equations in Hilbert spaces and related optimal control problems by presenting a survey of results that can be achieved with the techniques of Backward SDEs in infinite dimension.
HJB Equations Through Backward Stochastic Differential Equations / M. Fuhrman, T. Gianmario (PROBABILITY THEORY AND STOCHASTIC MODELLING). - In: Stochastic optimal control in infinite dimension : dynamic programming and HJB equations / [a cura di] G. Fabbri, F. Gozzi, A. Święch. - Prima edizione. - [s.l] : Springer, 2017. - ISBN 9783319530666. - pp. 685-781 [10.1007/978-3-319-53067-3_6]
HJB Equations Through Backward Stochastic Differential Equations
M. Fuhrman;
2017
Abstract
This last chapter of the book completes the picture of the main methods used to study second-order HJB equations in Hilbert spaces and related optimal control problems by presenting a survey of results that can be achieved with the techniques of Backward SDEs in infinite dimension.
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