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


Baten, Md Azizul (2005) On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions. Lobachevskii Journal of Mathematics, 17. pp. 11-23. ISSN 1818-9962

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Abstract

The paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of 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.

Item Type: Article
Uncontrolled Keywords: stochastic differential equation, Hamilton–Jacobi–Bellman equation, linear-quadratic problem, viscosity solutions, applications to control theory.
Subjects: Q Science > QA Mathematics
Divisions: College of Arts and Sciences
Depositing User: Prof. Madya Dr. Md. Azizul Baten
Date Deposited: 21 Apr 2014 02:16
Last Modified: 21 Apr 2014 02:16
URI: http://repo.uum.edu.my/id/eprint/10630

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