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Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian

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  • We consider Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with quadratic (respectively superquadratic) Hamiltonian and with continuous (respectively lipschitz continuous) final condition. This allows to study stochastic optimal control problems for suitable controlled state equations with unbounded control processes. The results are applied to controlled heat equations.
    Mathematics Subject Classification: Primary: 60H15, 93E20; Secondary: 60H10.

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