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.
Original language | English |
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Pages (from-to) | 105-122 |
Number of pages | 17 |
Journal | Systems & Control Letters |
Volume | 51 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2003 |