scholarly journals Stochastic optimal control to a nonlinear differential game

2014 ◽  
Vol 2014 (1) ◽  
Author(s):  
Othusitse Basimanebotlhe ◽  
Xiaoping Xue
Keyword(s):  
Optimal Control ◽  
Differential Game ◽  
Stochastic Optimal Control ◽  
Nonlinear Differential Game

Parametric approximate optimal control of uncertain differential game with application to counter terror

2021 ◽  
Vol 146 ◽  
pp. 110940
Author(s):  
Bo Li ◽  
Ranran Zhang ◽  
Ting Jin ◽  
Yadong Shu
Keyword(s):  
Optimal Control ◽  
Differential Game

scholarly journals BSDEs with Logarithmic Growth Driven by Brownian Motion and Poisson Random Measure and Connection to Stochastic Control Problem

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Khalid Oufdil
Keyword(s):  
Optimal Control ◽  
Brownian Motion ◽  
Control Problem ◽  
Stochastic Optimal Control ◽  
Random Measure ◽  
Poisson Random Measure ◽  
One Dimensional ◽  
Stochastic Optimal Control Problem ◽  
Uniqueness Of The Solution ◽  
Logarithmic Growth

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in the 𝑧-variable ( | z | ⁢ | ln ⁡ | z | | ) (\lvert z\rvert\sqrt{\lvert\ln\lvert z\rvert\rvert}) . We show the existence and the uniqueness of the solution when the noise is driven by a Brownian motion and an independent Poisson random measure. In addition, we highlight the connection of such BSDEs with stochastic optimal control problem, where we show the existence of an optimal strategy for the control problem.

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