Classical solutions of linear regulator for degenerate diffusions (Q937470)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Classical solutions of linear regulator for degenerate diffusions |
scientific article; zbMATH DE number 5312398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Classical solutions of linear regulator for degenerate diffusions |
scientific article; zbMATH DE number 5312398 |
Statements
Classical solutions of linear regulator for degenerate diffusions (English)
0 references
15 August 2008
0 references
Summary: 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.
0 references
stochastic optimal control problem
0 references
Bellmann equation
0 references
viscosity solutions
0 references
optimality conditions
0 references
0.8708835244178772
0 references
0.8632480502128601
0 references
