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Lookup NU author(s): Dr Bo Wang
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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.
Author(s): Wang B
Publication type: Article
Publication status: Published
Journal: Systems and Control Letters
ISSN (print): 0167-6911
ISSN (electronic): 1872-7956
Publisher: Elsevier BV
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