Abstract
We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coefficients with a linear growth. In this paper we provide full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variables tend to infinite.
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Iourtchenko, D.V., Menaldi, J.L. & Bratus, A.S. On the LQG theory with bounded control. Nonlinear Differ. Equ. Appl. 17, 527–534 (2010). https://doi.org/10.1007/s00030-010-0066-1
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DOI: https://doi.org/10.1007/s00030-010-0066-1