Classical solutions of linear regulator for degenerate diffusions
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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| Format: | Article |
| Language: | en |
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Hindawi Publishing Corporation
2006
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| Online Access: | https://repo.uum.edu.my/id/eprint/10636/1/09.pdf https://repo.uum.edu.my/id/eprint/10636/ http://dx.doi.org/10.1155/JAMSA/2006/98764 |
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