Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 98764, 16 pages
doi:10.1155/JAMSA/2006/98764
Abstract
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.