Ontology type: schema:Chapter
1992
AUTHORS ABSTRACTSecond order Hamilton-Jacobi equations in infinite dimensions are semilinear parabolic equations in which the unknown function u(t, x) is defined for real t and x belonging to a Hilbert space X. Our presentation will focus on the relationship between such equations and stochastic optimal control of distributed parameter systems. Perturbation methods can be used to study Hamilton-Jacobi equations.Such methods are based on a detailed analysis of the linearized problem, which is related to solutions of some stochastic partial differential equations. We will describe two different approaches to the linearized equation: one is based on the probabilistic representation formula for the solution, the other uses just functional analysis. More... »
PAGES617-629
Probabilistic and Stochastic Methods in Analysis, with Applications
ISBN
978-94-010-5239-9
978-94-011-2791-2
http://scigraph.springernature.com/pub.10.1007/978-94-011-2791-2_30
DOIhttp://dx.doi.org/10.1007/978-94-011-2791-2_30
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