| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4668952 | Bulletin des Sciences Mathématiques | 2012 | 21 Pages |
Abstract
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 an Lp-integrable terminal value, for a suitable p>2. We also show the existence and uniqueness of solution for this BSDE.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
