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)

Recommendations

• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Existence of linear-quadratic regulator for degenerate diffusions
• Classical solutions of linear regulator for degenerate diffusions
• A characterization of the value function for a class of degenerate control problems
• Ergodic control of degenerate diffusions

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 (6)

• Study of a degenerate elliptic equation in an optimal consumption problem under partial information
• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
• Existence of linear-quadratic regulator for degenerate diffusions
• Control of Degenerate Diffusions in R d
• Classical solutions of linear regulator for degenerate diffusions

This page was built for publication: Viscosity solution of linear regulator quadratic for degenerate diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q871352)