Viscosity solution of linear regulator quadratic for degenerate diffusions

MaRDI QIDQ871352zbMATH OpenFDO

Authors Md. Azizul Baten

Publication date 19 March 2007

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

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)

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Cited in

(6)

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

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