Existence of Linear-Quadratic Regulator for Degenerate Diffusions

Authors : Azizul BATEN

Pages : 309-328

View : 11 | Download : 5

Publication Date : 0000-00-00

Article Type : Research Paper

Abstract :This paper studies a linear regulatory quadratic control problem for degenerate Hamilton-Jacobi-Bellman insert ignore into journalissuearticles values(HJB); equation. We establish the existence of a unique viscosity and a classical solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions, and, hence, derive an optimal control from the optimality conditions in the HJB equation.
Keywords : Stochastic differential equation, Hamilton Jacobi Bellman equation, Linear Quadratic problem, Viscosity solutions, Applications to control theory