Viscosity solution of linear regulator quadratic for degenerate diffusions
Md. Azizul Baten · International Journal of Stochastic Analysis · 2006
The paper studied a linear regulator quadratic control problem for degenerate Hamilton‐Jacobi‐Bellman (HJB) equation. We showed the existence of viscosity properties and established a unique viscosity solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions.