In this paper, we study a class of stochastic optimal control problems, 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 (not necessarily compact). This problem is related to some backward stochastic differential equations (BSDEs) with quadratic growth and unbounded terminal value. We prove that the optimal feedback control exists, and the optimal cost is given by the initial value of the solution of the related BSDE.
Fuhrman, M., Hu, Y., Tessitore, G. (2006). On a class of stochastic optimal control problems related to BSDEs with quadratic growth. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 45(4), 1279-1296 [10.1137/050633548].
On a class of stochastic optimal control problems related to BSDEs with quadratic growth
TESSITORE, GIANMARIO
2006
Abstract
In this paper, we study a class of stochastic optimal control problems, 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 (not necessarily compact). This problem is related to some backward stochastic differential equations (BSDEs) with quadratic growth and unbounded terminal value. We prove that the optimal feedback control exists, and the optimal cost is given by the initial value of the solution of the related BSDE.
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