%0 Report
%T Regular Solutions of Second-Order Stationary Hamilton-Jacobi Equations
%+ Mathematical Analysis and Numerical Simulation of Non-Linear Models (NUMATH)
%A Gozzi, Fausto
%A Rouy, Elisabeth
%N RR-2649
%P 33
%I INRIA
%8 1995
%D 1995
%K Hamilton-jacobi equations
%K optimal stochastic control
%K dynamic programming
%K ito's formula
%K infinite dimension
%K maximal monotone operators
%Z Computer Science [cs]/Other [cs.OH]Reports
%X 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.
%G English
%2 https://inria.hal.science/inria-00074041/document
%2 https://inria.hal.science/inria-00074041/file/RR-2649.pdf
%L inria-00074041
%U https://inria.hal.science/inria-00074041
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