Viscosity solution of linear regulator quadratic for degenerate diffusions

Md. Azizul Baten

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-17

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.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/2006/048369.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/2006/048369.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:048369

DOI: 10.1155/JAMSA/2006/48369

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().