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On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions

The paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of a classical solution of the degenerate HJB equation associated with this problem by the technique of visc...

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Main Author: Baten, Md Azizul
Format: Article
Language:English
Published: Pleides Publishing 2005
Subjects:
QA Mathematics
Online Access:http://repo.uum.edu.my/10630/1/ljm72.pdf
http://repo.uum.edu.my/10630/
http://ljm.ksu.ru/vol17/bat.html
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spelling my.uum.repo.106302014-04-21T02:16:36Z http://repo.uum.edu.my/10630/ On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions Baten, Md Azizul QA Mathematics The paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of a classical solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions, and hence derive an optimal control from the optimality conditions in the HJB equation. Pleides Publishing 2005 Article PeerReviewed application/pdf en http://repo.uum.edu.my/10630/1/ljm72.pdf Baten, Md Azizul (2005) On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions. Lobachevskii Journal of Mathematics, 17. pp. 11-23. ISSN 1818-9962 http://ljm.ksu.ru/vol17/bat.html
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Baten, Md Azizul
On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
description The paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of a classical solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions, and hence derive an optimal control from the optimality conditions in the HJB equation.
format Article
author Baten, Md Azizul
author_facet Baten, Md Azizul
author_sort Baten, Md Azizul
title On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
title_short On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
title_full On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
title_fullStr On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
title_full_unstemmed On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
title_sort on the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
publisher Pleides Publishing
publishDate 2005
url http://repo.uum.edu.my/10630/1/ljm72.pdf
http://repo.uum.edu.my/10630/
http://ljm.ksu.ru/vol17/bat.html
_version_ 1644280417236287488
score 13.160551

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