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Existence of Linear-Quadratic Regulator for Degenerate Diffusions
Stochastic differential equation Hamilton-Jacobi-Bellman equation Linear-Quadratic problem Viscosity solutions Applications to control theory
2010/2/26
This paper studies a linear regulatory quadratic control problem for degenerate Hamilton-Jacobi-Bellman (HJB) equation. We establish the existence of a unique viscosity and a classical solution of the...