Regular Solutions of Second-Order Stationary Hamilton-Jacobi Equations

Abstract : We study a second-order stationary Hamilton-Jacobi equation in infinite dimension. This equation is nonlinear and convex with respect to the first-ord- er term. We use properties of a the transition semigroup associated to the linear equation to write the Hamilton-Jacobi equation in integral form and we prove that this solution is the pointwise limit of a uniformly bounded sequence of classical solutions of approximating problems. Finally, the solution is the value function of the associated optimal stochastic control problem. Some examples are given.
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Rapport
[Research Report] RR-2649, INRIA. 1995, pp.33
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https://hal.inria.fr/inria-00074041
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Dernière modification le : samedi 17 septembre 2016 - 01:06:54
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Fausto Gozzi, Elisabeth Rouy. Regular Solutions of Second-Order Stationary Hamilton-Jacobi Equations. [Research Report] RR-2649, INRIA. 1995, pp.33. 〈inria-00074041〉

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