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
Distribution Statement : APPROVED FOR PUBLIC RELEASE