Accession Number : ADA190319

Title :   Normed Bellman Equation with Degenerate Diffusion Coefficients and Its Application to Differential Equations.

Descriptive Note : Technical rept.,

Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s) : Fujisaki, Masatoshi

PDF Url : ADA190319

Report Date : Oct 1987

Pagination or Media Count : 35

Abstract : The purpose of this paper is to prove the existence and uniqueness of generalized solution of the normed bellman equation with degenerate diffusion coefficients and also to prove that this unique solution is the cost function of a stochastic control problem associated with the normed Bellman equation. We can apply these results to some interesting degenerate and nonlinear differential equations. Keywords: Normalizing multiplier; Cost function.

Descriptors :   *STOCHASTIC CONTROL, COSTS, DIFFERENTIAL EQUATIONS, DIFFUSION COEFFICIENT, NONLINEAR DIFFERENTIAL EQUATIONS, COEFFICIENTS

Subject Categories : Statistics and Probability
      Numerical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE