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

Oufdil Khalid ()
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Oufdil Khalid: National School of Applied Sciences (ENSA), Agadir, Morocco

Stochastics and Quality Control, 2021, vol. 36, issue 1, 27-42

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.

Keywords: Backward Stochastic Differential Equations; Optimal Control; Logarithmic Growth (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/eqc-2021-0012

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