Control of diffusion processes in \(R^ d\) and Bellman equation with degeneration (Q1080836)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Control of diffusion processes in \(R^ d\) and Bellman equation with degeneration |
scientific article |
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Control of diffusion processes in \(R^ d\) and Bellman equation with degeneration (English)
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1986
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The optimal control problem for degenerate diffusion processes is considered. It is proved that under suitable conditions on the initial data the cost function is the unique solution of the corresponding Bellman equation, which is a nonlinear degenerate second order parabolic equation. The main results of this paper follow from more general results presented by \textit{N. V. Krylov} [Mat. Sb., Nov. Ser. 109(151), 146-164 (1979; Zbl 0404.93052)].
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degenerate diffusion processes
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Bellman equation
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