On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions

zbMath1072.49023MaRDI QIDQ1780376

Md. Azizul Baten

Publication date: 7 June 2005

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/232791

zbMATH Keywords

stochastic differential equationHamilton-Jacobi-Bellman equationlinear-quadratic problemviscosity solutionsapplications to control theorylinear-quadratic regulator control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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