Singular optimal controls for stochastic recursive systems under convex control constraint
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DOI: 10.1016/j.jmaa.2020.124905
Abstract: Abstract In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components:… read more here.
Keywords: singular optimal; stochastic recursive; control; optimal controls ... See more keywords