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Classical solutions of linear regulator for degenerate diffusions

Baten, Md Azizul (2006) Classical solutions of linear regulator for degenerate diffusions. Journal of Applied Mathematics and Stochastic Analysis, 2006. pp. 1-16. ISSN 1048-9533

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We study a stochastic control problem for linear degenerate systems. We establish the existence of a classical solution of the degenerate Bellman equation by the technique of viscosity solutions, and the optimal policy is shown to exist from the optimality conditions.

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 02:31
Last Modified: 21 Apr 2014 02:31
URI: http://repo.uum.edu.my/id/eprint/10636

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