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Lobachevskii Journal of Mathematics, 2005, Volume 17, Pages 11–23 (Mi ljm72)  
On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions

M. A. Baten

Shahjalal University of Science and Technology
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Abstract: 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.
Keywords: stochastic differential equation, Hamilton–Jacobi–Bellman equation, linear-quadratic problem, viscosity solutions, applications to control theory.
Submitted by: A. V. Lapin
Received: 18.02.2005
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Language: English
Citation: M. A. Baten, “On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions”, Lobachevskii J. Math., 17 (2005), 11–23
Citation in format AMSBIB
\Bibitem{Bat05}
\by M.~A.~Baten
\paper On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
\jour Lobachevskii J. Math.
\yr 2005
\vol 17
\pages 11--23
\mathnet{http://mi.mathnet.ru/ljm72}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2137296}
\zmath{https://zbmath.org/?q=an:1072.49023}
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