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arXiv · 1111.1298

Stochastic Optimal Control and BSDEs with Logarithmic Growth

Khaled Bahlali·Brahim El Asri
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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 $z$-variable and terminal value in some $L^p$ space. We also show the existence and uniqueness of solution of this BSDE.

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Khaled Bahlali, Brahim El Asri. 2011-11-05. Stochastic Optimal Control and BSDEs with Logarithmic Growth. https://arxiv.org/abs/1111.1298

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