Control of Degenerate Diffusions in R d

DOI10.2307/2001850MaRDI QIDQ3977248zbMATH OpenOpenAlexFDO

Authors Omar Hijab

Publication date 25 June 1992

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2001850

zbMATH Keywords

Bellman equationdynamic programmingnonlinear partial differential equationstochastic control technique

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cited in

(9)

• Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view
• Control of diffusion processes in \(R^ d\) and Bellman equation with degeneration
• On the regularity of solutions of a degenerate parabolic Bellman equation
• Partially observed control of Markov processes. IV
• Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control
• A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains
• Regularity of the viscosity solution to nonlinear pde's with large zeroth order coefficient
• Minimizing or maximizing the first-passage time to a time-dependent boundary
• Infinite-dimensional Hamilton-Jacobi equations with large zeroth-order coefficient

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