论文标题
BSDE具有对数增长的BSD，由布朗运动和泊松随机度量和与随机控制问题的联系驱动
BSDEs with logarithmic growth driven by a Brownian motion and a Poisson random measure and connection to stochastic control problem
论文作者
论文摘要
在本文中，我们研究了一维向后的随机微分方程，并在z变量（| z | \ sqrt {| \ ln | z |} |）和l^p termal值（适用于合适的p> 2）中的对数生长假设下跳跃。当噪声是由布朗运动和独立的泊松随机度量驱动时，我们显示了解决方案的存在和独特性。此外，我们强调了此类BSDE与随机最佳控制问题的联系，在此我们显示了随机控制问题的最佳策略。
In this paper, we study one-dimensional backward stochastic differential equation with jump under logarithmic growth assumption in the z-variable (|z|\sqrt{|\ln|z|}|) and an L^p terminal value (for a suitable p>2). 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 stochastic control problem.
