Classical solutions of linear regulator for degenerate diffusions

DOI10.1155/JAMSA/2006/98764MaRDI QIDQ937470zbMATH OpenFDO

Authors Md. Azizul Baten

Publication date 15 August 2008

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/54571

zbMATH Keywords

Bellmann equationoptimality conditionsstochastic optimal control problemviscosity solutions

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Optimal stochastic control (93E20)

Review text

Summary: We study a stochastic control problem for linear degenerate systems. We establish the existence of a classical solution of the degenerate Bellman equation by the technique of viscosity solutions, and the optimal policy is shown to exist from the optimality conditions.

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Cited in

(3)

• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Existence of linear-quadratic regulator for degenerate diffusions
• Viscosity solution of linear regulator quadratic for degenerate diffusions

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