Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
نویسندگان
چکیده
We deal with a class of semilinear parabolic PDEs on the space continuous functions that arise, for example, as Kolmogorov equations associated to infinite-dimensional lifting path-dependent SDEs. investigate existence smooth solutions through their representation via forward–backward stochastic systems, which we provide necessary regularity theory. Because lack smoothing properties operators at hand, in general will only share same coefficients equation. To conclude exhibit an application Hamilton–Jacobi–Bellman suitable optimal control problems.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2021
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2021.01.009