✦ LIBER ✦

Singular control of stochastic linear systems with recursive utility

✍ Scribed by Bo Wang

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 379 KB
Volume: 51
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(03)00210-x

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✦ Synopsis

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 the optimal control process is constructed.

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