Abstract
In this chapter we study the minimizing problems associated with the following cost functionals
and
Here u(s;t,x,z) is the solution of the controlled system (9.1.1), and g are in \( C_b^{0,1} (H), k : H \to ( - \infty , + \infty ] \) is a convex lower semi-continuous function and λ is a positive constant.
Keywords
- Stochastic Control
- Finite Horizon
- Gronwall Lemma
- Stochastic Optimal Control Problem
- Cost Functional
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© 2001 Springer-Verlag Berlin Heidelberg
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(2001). Application to stochastic optimal control problems. In: Cerrai, S. (eds) Second Order PDE’s in Finite and Infinite Dimension. Lecture Notes in Mathematics, vol 1762. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45147-1_11
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DOI: https://doi.org/10.1007/3-540-45147-1_11
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42136-8
Online ISBN: 978-3-540-45147-1
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