Classical solutions of linear regulator for degenerate diffusions (Q937470)
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| Language | Label | Description | Also known as |
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| English | Classical solutions of linear regulator for degenerate diffusions |
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Classical solutions of linear regulator for degenerate diffusions (English)
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15 August 2008
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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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stochastic optimal control problem
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Bellmann equation
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viscosity solutions
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optimality conditions
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