Stochastic optimal control and BSDEs with logarithmic growth

被引：10

作者：

Bahlali, Khaled ^{[1
]}

El Asri, Brahim ^{[2
,3
]}

机构：

[1] USVT, UFR Sci, IMATH, F-83957 La Garde, France

[2] Univ Jena, Inst Stochast, D-07743 Jena, Germany

[3] Univ Cadi Ayyad, FSTG, Marrakech, Morocco

来源：

BULLETIN DES SCIENCES MATHEMATIQUES | 2012年 / 136卷 / 06期

关键词：

Backward stochastic differential equations; Stochastic control; Zero-sum stochastic differential games; DIFFERENTIAL-EQUATIONS; EXISTENCE; UNIQUENESS;

D O I：

10.1016/j.bulsci.2011.12.008

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with logarithmic growth in the z-variable (vertical bar z vertical bar root vertical bar ln vertical bar z vertical bar vertical bar) and an L-p-integrable terminal value, for a suitable p > 2. We also show the existence and uniqueness of solution for this BSDE. (C) 2012 Elsevier Masson SAS. All rights reserved.

引用

页码：617 / 637

页数：21

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