Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 98764, 16 pages
Classical solutions of linear regulator for degenerate diffusions
Department of Statistics, Shah Jalal University of Science and Technology, Sylhet 3114, Bangladesh
Received 26 November 2005; Revised 19 April 2006; Accepted 25 April 2006
Copyright © 2006 Md. Azizul Baten. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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.