Khaled Bahlali, Brahim El Asri
Published 2011-11-05, updated 2011-11-08Version 2
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.
Optimal Strategy in "Guess Who?"
Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Reflected BSDEs with Logarithmic Growth and Applications in Mixed Stochastic Control Problems
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