Dynamic programming for the stochastic burgers equation

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We solve a control problem for the stochastic Burgers equation using the dynamic programming approach. The cost functional involves exponentially growing functions and the analog of the kinetic energy; the case of a distributed parameter control is considered. The Hamilton-Jacobi equation is solved by a compactness method and a-priori estimates are obtained thanks to the regularizing properties of the transition semigroup associated to the stochastic Burgers equation; a fixed point argument does not seem to apply here.


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Entrata in Redazione il 10 dicembre 1998.

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Da Prato, G., Debussche, A. Dynamic programming for the stochastic burgers equation. Annali di Matematica pura ed applicata 178, 143–174 (2000).

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  • Control Problem
  • Dynamic Programming
  • Mild Solution
  • Burger Equation
  • Galerkin Approximation