Singular control of stochastic linear systems with recursive utility

DOI10.1016/S0167-6911(03)00210-XzbMath1157.93542OpenAlexW1986950771MaRDI QIDQ2503568

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

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

Related Items

Singular recursive utility, Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality, Singular optimal controls for stochastic recursive systems under convex control constraint

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