Wang, B. (2003) Singular control of stochastic linear systems with recursive utility. Systems & Control Letters, 51 (2). pp. 105-122. ISSN 0167-6911
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.
|Institution:||The University of York|
|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|