Stochastic Optimal Control and BSDEs with Logarithmic Growth

Details Stochastic Optimal Control and BSDEs with Logarithmic Growth Stochastic Optimal Control and BSDEs with Logarithmic Growth

2011-11-05

arxiv.org/abs/1111.1298v2

Mathematics

Probability

20 pages

Scientific paper

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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