Singular control of stochastic linear systems with recursive utility

DOI10.1016/S0167-6911(03)00210-XzbMATH Open1157.93542OpenAlexW1986950771MaRDI QIDQ2503568FDOQ2503568

Authors: Bo Wang 

Publication date: 21 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(03)00210-x

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zbMATH Keywords

HJB equationFree boundary problemBackward stochastic differential equationSingular stochastic controlDiffusion with reflections

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming in optimal control and differential games (49L20) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

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• Instantaneous Control of Brownian Motion
• Regularity of the free boundary in singular stochastic control
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• Optimal Control of Inflation: A Central Bank Problem
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Cited In (6)

• A singular control model with application to the goodwill problem
• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Singular recursive utility
• Title not available (Why is that?)
• Closed-loop Stackelberg strategies for singularly perturbed systems: the recursive approach

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