Wang, B. (2003) Singular control of stochastic linear systems with recursive utility. Systems & Control Letters, 51 (2). pp. 105-122. ISSN 0167-6911
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.
Metadata
| Item Type: | Article |
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| Authors/Creators: |
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| Dates: |
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| Institution: | The University of York |
| Academic Units: | The University of York > Faculty of Sciences (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 |
| Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:7562 |
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