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math.OC2018
Singular Optimal Controls for Stochastic Recursive Systems under Convex Control Constraint
Liangquan Zhang
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 fo…
math.OC2018
Singular Optimal Controls of Stochastic Recursive Systems and Hamilton-Jacobi-Bellman Inequality
Liangquan Zhang
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. Unde…