Existence of linear-quadratic regulator for degenerate diffusions

MaRDI QIDQ3417482zbMATH OpenFDO

Authors Azizul Baten

Publication date 29 January 2007

zbMATH Keywords

applications to control theoryHamilton-Jacobi-Bellman equationlinear regulatory quadratic control problemsmoothness of viscosity solutionsstochastic differential equationuniqueness

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Applications of variational problems to control theory (58E25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(4)

• Degenerate variance control in the one-dimensional stationary case
• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Viscosity solution of linear regulator quadratic for degenerate diffusions
• Classical solutions of linear regulator for degenerate diffusions

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