• DocumentCode
    1215880
  • 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
  • Volume
    50
  • Issue
    11
  • fYear
    2005
  • Firstpage
    1822
  • Lastpage
    1826
  • 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;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2005.858648
  • Filename
    1532414
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1215880