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Recursive utility with unbounded aggregators

✍ Scribed by Juan Pablo Rincón-Zapatero; Carlos Rodríguez-Palmero

Book ID
105866701
Publisher
Springer
Year
2007
Tongue
English
Weight
163 KB
Volume
33
Category
Article
ISSN
0938-2259

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📜 SIMILAR VOLUMES

Singular control of stochastic linear sy
Singular control of stochastic linear systems with recursive utility
✍ Bo Wang 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 379 KB

We formulate a class of singular stochastic control problem with recursive utility where the cost function is determined by a backward stochastic di erential equation. Some characteristics of the value function of the control problem are obtained by the method of approximation via penalization, and