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

optimality conditionsviscosity solutionsstochastic optimal control problemBellmann equation

Mathematics Subject Classification ID

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

Recommendations

• 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
• On a degenerate Riccati equation
• Ergodic control of degenerate diffusions

Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 3710064 (Why is no real title available?)
• scientific article; zbMATH DE number 3744982 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3484308 (Why is no real title available?)
• Direct solution of a Riccati equation arising in stochastic control theory
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimization and nonsmooth analysis
• User’s guide to viscosity solutions of second order partial differential equations
• Variational inequalities for leavable bounded-velocity control
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(3)

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

This page was built for publication: Classical solutions of linear regulator for degenerate diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q937470)