Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

Abstract This paper concerns a kind of stochastic optimal control problem with recursive utility described by a reflected backward stochastic differential equation (RBSDE, for short) involving diffusion type control which covers regular control problem, singular control problem and impulse control p...

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Bibliographic Details
Main Author: Zhenda Xu
Format: Article
Language:English
Published: SpringerOpen 2020-07-01
Series:Advances in Difference Equations
Subjects:
Optimal control problem
Reflected backward stochastic differential equation
Diffusion type control
Recursive utility
Sufficient condition
Online Access:http://link.springer.com/article/10.1186/s13662-020-02844-1

Internet

http://link.springer.com/article/10.1186/s13662-020-02844-1

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