Classical solutions of linear regulator for degenerate diffusions

DOI10.1155/JAMSA/2006/98764zbMath1146.49025MaRDI QIDQ937470

Md. Azizul Baten

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54571

zbMATH Keywords

optimality conditionsviscosity solutionsstochastic optimal control problemBellmann equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Cites Work

• Direct solution of a Riccati equation arising in stochastic control theory
• Variational inequalities for leavable bounded-velocity control
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimization and nonsmooth analysis
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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