Wang, B. (2003) Singular control of stochastic linear systems with recursive utility. Systems & Control Letters, 51 (2). pp. 105-122. ISSN 0167-6911
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Published Version: http://dx.doi.org/10.1016/S0167-6911(03)00210-X
Abstract
We formulate a class of singular stochastic control problem with recursive utility where the cost function is determined by a backward stochastic differential 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.
| Item Type: | Article |
|---|---|
| Academic Units: | The University of York > Mathematics (York) |
| Depositing User: | York RAE Import |
| Date Deposited: | 11 Feb 2009 15:04 |
| Last Modified: | 11 Feb 2009 15:04 |
| Published Version: | http://dx.doi.org/10.1016/S0167-6911(03)00210-X |
| Status: | Published |
| Publisher: | Elsevier |
| Identification Number: | 10.1016/S0167-6911(03)00210-X |
| URI: | http://eprints.whiterose.ac.uk/id/eprint/7562 |
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