Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Analysis
Infinite-Dimensional Hamilton-Jacobi-Bellman Equations In Gauss-Sobolev Spaces, Pao-Liu Chow, Jose-Luis Menaldi
Infinite-Dimensional Hamilton-Jacobi-Bellman Equations In Gauss-Sobolev Spaces, Pao-Liu Chow, Jose-Luis Menaldi
Mathematics Faculty Research Publications
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.