Stochastic optimal control and BSDEs with logarithmic growth

DOI10.1016/J.BULSCI.2011.12.008zbMath1301.60054arXiv1111.1298OpenAlexW2159426381MaRDI QIDQ452075

Brahim El Asri, Khaled Bahlali

Publication date: 19 September 2012

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.1298

zbMATH Keywords

stochastic controlbackward stochastic differential equationszero-sum stochastic differential games

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Mathematical economics (91B99) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs in connection with control and optimization (35Q93)

Related Items (10)

Locally Lipschitz BSDE with jumps and related Kolmogorov equation ⋮ Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator ⋮ One dimensional BSDEs with logarithmic growth application to PDEs ⋮ Backward doubly SDEs and SPDEs with superlinear growth generators ⋮ Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ Stochastic zero-sum differential games and backward stochastic differential equations ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem ⋮ One dimensional reflected BSDEs with two barriers under logarithmic growth and applications

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