Viscosity solution of linear regulator quadratic for degenerate diffusions

zbMATH Open1115.49022MaRDI QIDQ871352FDOQ871352

Authors: Md. Azizul Baten 

Publication date: 19 March 2007

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

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zbMATH Keywords

degenerate Hamilton-Jacobi-Bellman equationunique viscosity solution

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cited In (4)

• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Existence of linear-quadratic regulator for degenerate diffusions
• Control of Degenerate Diffusions in R d
• Classical solutions of linear regulator for degenerate diffusions

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