{
  "id": "1111.1298",
  "version": "v2",
  "published": "2011-11-05T11:27:43.000Z",
  "updated": "2011-11-08T10:34:05.000Z",
  "title": "Stochastic Optimal Control and BSDEs with Logarithmic Growth",
  "authors": [
    "Khaled Bahlali",
    "Brahim El Asri"
  ],
  "comment": "20 pages",
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2011-11-08T10:34:05.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "62P20",
      "91B99",
      "91B28",
      "35B37",
      "49L25"
    ],
    "keywords": [
      "stochastic optimal control",
      "logarithmic growth",
      "zero-sum stochastic differential games",
      "optimal strategy",
      "terminal value"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 20,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1111.1298B"
    }
  }
}