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

Classical solutions of linear regulator for degenerate diffusions

Md. Azizul Baten

 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

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.