Stochastic Optimal Control and BSDEs with Logarithmic Growth
Probability
2011-11-09 v2 Optimization and Control
Abstract
In this paper, 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 -variable and terminal value in some space. We also show the existence and uniqueness of solution of this BSDE.
Cite
@article{arxiv.1111.1298,
title = {Stochastic Optimal Control and BSDEs with Logarithmic Growth},
author = {Khaled Bahlali and Brahim El Asri},
journal= {arXiv preprint arXiv:1111.1298},
year = {2011}
}
Comments
20 pages