Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems

DOI10.1080/17442508.2022.2034818arXiv2201.03343OpenAlexW4213262251MaRDI QIDQ6104943

Brahim El Asri, Khalid Oufdil

Publication date: 26 June 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.03343

zbMATH Keywords

stochastic controlstochastic differential gamesreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic processes (60G99) Stochastic systems in control theory (general) (93E03)

Cites Work

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• L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
• Existence of Optimal Stochastic Control Laws

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