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
β¦ LIBER β¦
Robust control and recursive utility
β Scribed by Costis Skiadas
- Publisher
- Springer-Verlag
- Year
- 2003
- Tongue
- English
- Weight
- 186 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0949-2984
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