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Infinite Horizon Stochastic Optimal Control Problems with Degenerate Noise and Elliptic Equations in Hilbert Spaces

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Abstract

Semilinear elliptic partial differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. These results are applied to a stochastic optimal control problem with infinite horizon. Applications to controlled stochastic heat and wave equations are given.

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Authors and Affiliations

  1. Dipartimento~di~Matematica, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133, Milano, Italy

    Federica Masiero

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  1. Federica Masiero
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Correspondence to Federica Masiero.

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Masiero, F. Infinite Horizon Stochastic Optimal Control Problems with Degenerate Noise and Elliptic Equations in Hilbert Spaces. Appl Math Optim 55, 285–326 (2007). https://doi.org/10.1007/s00245-006-0864-3

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  • DOI: https://doi.org/10.1007/s00245-006-0864-3

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