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Viscosity solution of linear regulator quadratic for degenerate diffusions


Baten, Md Azizul (2006) Viscosity solution of linear regulator quadratic for degenerate diffusions. Journal of Applied Mathematics and Stochastic Analysis, 2006. pp. 1-17. ISSN 1048-9533

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Abstract

The paper studied a linear regulator quadratic control problem for degenerate Hamilton-Jacobi-Bellman (HJB) equation.We showed the existence of viscosity properties and established a unique viscosity solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions.

Item Type: Article
Subjects: Q Science > QA Mathematics
Divisions: College of Arts and Sciences
Depositing User: Prof. Madya Dr. Md. Azizul Baten
Date Deposited: 21 Apr 2014 02:30
Last Modified: 21 Apr 2014 02:30
URI: http://repo.uum.edu.my/id/eprint/10634

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