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Published in 2019 at "Journal of Differential Equations"
DOI: 10.1016/j.jde.2018.11.006
Abstract: In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
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Keywords:
controls stochastic;
recursive systems;
stochastic recursive;
bellman inequality ... See more keywords