论文标题
反射的BSDE具有对数增长和在混合随机控制问题中的应用
Reflected BSDEs with Logarithmic Growth and Applications in Mixed Stochastic Control Problems
论文作者
论文摘要
在本文中，我们研究了在$ z $ -varia-variail $（| z | \ sqrt {| \ sqrt {| \ ln（| z |）|}）$中的存在和对数增长的情况下，用于反射向后随机微分方程的解决方案的存在和独特性。为了构建解决方案，我们使用本地化方法。我们还将这些结果应用于有限地平线中混合随机控制问题的最佳控制策略。
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.
