In this talk, we study a stochastic optimal control problem where the drift term of the equation has a linear growth on the control variable, the cost functional has a quadratic growth and the control process takes values in a closed set. This problem is related to some BSDE with quadratic growth. We prove that the optimal feedback control exists and the optimal cost is given by the initial value of the solution of the related backward stochastic differential equation
Fuhrman, M., Ying, H., Tessitore, G. (2007). Stochastic control and bsdes with quadratic growth. In S. Tang, J. Yong (a cura di), Control theory and related topics (pp. 80-86). World Scientific [10.1142/9789812790552_0007].
Stochastic control and bsdes with quadratic growth
TESSITORE, GIANMARIO
2007
Abstract
In this talk, we study a stochastic optimal control problem where the drift term of the equation has a linear growth on the control variable, the cost functional has a quadratic growth and the control process takes values in a closed set. This problem is related to some BSDE with quadratic growth. We prove that the optimal feedback control exists and the optimal cost is given by the initial value of the solution of the related backward stochastic differential equation
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