Reflected BSDEs with Logarithmic Growth and Applications in Mixed Stochastic Control Problems

Brahim El Asri, Khalid Oufdil

Published 2022-01-10Version 1

In this article we study the existence and the uniqueness of a solution for reflected backward stochastic differential equations in the case when the generator is logarithmic growth in the $z$-variable $(|z|\sqrt{|\ln(|z|)|})$, the terminal value and obstacle are an $L^p$-integrable, for a suitable $p > 2$. To construct the solution we use localization method. We also apply these results to get the existence of an optimal control strategy for the mixed stochastic control problem in finite horizon.