Classical solutions of linear regulator for degenerate diffusions

Md. Azizul Baten

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-16

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.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:098764

DOI: 10.1155/JAMSA/2006/98764

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