Da Prato, Zabczyk: Differentiability of the Feynman-Kac semigroup and a control application

Da Prato, Giuseppe and Zabczyk, Jerzy:
Differentiability of the Feynman-Kac semigroup and a control application (Differenziabilità del semigruppo di Feynman-Kac e applicazioni)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni Serie 9 8 (1997), fasc. n.3, p. 183-188, (English)
pdf (610 Kb), djvu (150 Kb). | MR1611613 | Zbl 0910.93025

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L'equazione di Hamilton-Jacobi-Bellman corrispondente a un'ampia classe di problemi di controllo distribuiti viene ridotta a una equazione parabolica lineare avente una soluzione regolare. Viene inoltre ottenuta una formula per la derivata prima della soluzione.

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Referenze Bibliografiche