- Turkish Journal of Mathematics
- Vol: 30 Issue: 3
- Existence of Linear-Quadratic Regulator for Degenerate Diffusions
Existence of Linear-Quadratic Regulator for Degenerate Diffusions
Authors : Azizul Baten
Pages : 309-328
View : 6 | Download : 5
Publication Date : 9999-12-31
Article Type : Makaleler
Abstract :This paper studies a linear regulatory quadratic control problem for degenerate Hamilton-Jacobi-Bellman (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