On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
The paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of a classical solution of the degenerate HJB equation associated with this problem by the technique of visc...
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| Format: | Article |
| Language: | en |
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Pleides Publishing
2005
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| Online Access: | https://repo.uum.edu.my/id/eprint/10630/1/ljm72.pdf https://repo.uum.edu.my/id/eprint/10630/ http://ljm.ksu.ru/vol17/bat.html |
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