BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem

DOI10.1515/eqc-2021-0012zbMath1480.62167arXiv2012.09072OpenAlexW3158393252MaRDI QIDQ2054942

Khalid Oufdil

Publication date: 3 December 2021

Published in: Stochastics and Quality Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.09072

zbMATH Keywords

optimal controlbackward stochastic differential equationslogarithmic growth

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Stochastic approximation (62L20)

Cites Work

• Unnamed Item
• Stochastic optimal control and BSDEs with logarithmic growth
• Adapted solution of a backward stochastic differential equation
• Applied stochastic control of jump diffusions.
• Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Backward stochastic differential equations with locally Lipschitz coefficient
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Backward stochastic differential equations and integral-partial differential equations
• One dimensional BSDEs with logarithmic growth application to PDEs
• Existence of Optimal Stochastic Control Laws

This page was built for publication: BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem