Singular control of stochastic linear systems with recursive utility

DOI10.1016/S0167-6911(03)00210-XMaRDI QIDQ2503568zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3638617 (Why is no real title available?)
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• Optimal Control of Inflation: A Central Bank Problem
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• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
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• Some solvable stochastic control problemst^†
• Stochastic Differential Utility
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• Zero-sum stochastic differential games and backward equations

Cited in

(6)

• A singular control model with application to the goodwill problem
• Singular recursive utility
• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• scientific article; zbMATH DE number 5661222 (Why is no real title available?)
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Closed-loop Stackelberg strategies for singularly perturbed systems: the recursive approach

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