Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems

• Autorzy: Hamadène S. , Lepeltier J.-P. , Wu Z.
• Języki publikacji: EN

Abstrakty

EN

We prove existence and uniqueness results of the solution for infinite horizon reflected backward stochastic differential equations with one or two barriers. We also apply these results to get the existence of optimal control strategy for the mixed control problem and a saddle-point strategy for the mixed game problem when, in both situations, the horizon is infinite.

Słowa kluczowe

EN

backward stochastic differential equation; infinite horizon; reflected barriers; stochastic optimal control; stochastic differential game

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1999
• Tom: Vol. 19, Fasc. 2
• Strony: 211--234
• Opis fizyczny: Bibliogr. 21 poz.

Twórcy

autor

Hamadène S.

• Laboratoire Statistique et Processus, Université du Maine, 72085 Le Mans Cedex 9, France

autor

Lepeltier J.-P.

• Laboratoire Statistique et Processus, Université du Maine, 72085 Le Mans Cedex 9, France

autor

Wu Z.

• School of Mathematics and System Sciences, Shandong University, Jinan 250100, P.R. China

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