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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Abstract

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:	https://repo.uum.edu.my/id/eprint/10636

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