Viscosity solution of linear regulator quadratic for degenerate diffusions
نویسندگان
چکیده
منابع مشابه
Classical Solutions of Linear Regulatorfor Degenerate Diffusions
The usual framework of control is the one given in probably the most studied control problem, stochastic regulator control problem, which deals with minimizing a performance index of a system governed by a set of differential equations. The stochastic linear regulator problem has been studied by many authors including Bensoussan [4], Fleming and Soner [9] for nondegenerate diffusions. Da Prato ...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 2006
ISSN: 1048-9533,1687-2177
DOI: 10.1155/jamsa/2006/48369