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Singular control of stochastic linear systems with recursive utility |
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| Authors: | Bo Wang |
| Affiliation: | a School of Mathematics and Systems Science, Shandong University, Jinan, Shandong 250100, People's Republic of China;b Department of Statistics, University of Glasgow, 15 University Gardens, Glasgow G12 8QQ, UK |
| 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. |
| Keywords: | Singular stochastic control HJB equation Free boundary problem Diffusion with reflections Backward stochastic differential equation |
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