Title :
An extension of the linear regulator for degenerate diffusions
Author :
Baten, Md Azizul ; Morimoto, Hiroaki
Author_Institution :
Dept. of Math. Sci., Ehime Univ., Matsuyama, Japan
Abstract :
We study an extended stochastic control problem of the linear regulator for degenerate diffusions. 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.
Keywords :
stochastic processes; stochastic systems; viscosity; degenerate Bellman equation; degenerate diffusions; extended stochastic control problem; linear regulator extension; viscosity solution; Cost function; Extraterrestrial measurements; Filtration; Measurement standards; Motion control; Optimal control; Regulators; Riccati equations; Stochastic processes; Viscosity; Diffusion; linear regulator; viscosity solutions;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2005.858648
