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Journal articles
Existence of a stochastic optimal control for systems driven by FBSDEs
Abstract : We prove the existence of optimal relaxed controls as well as strict optimal controls for systems governed by non linear forward–backward stochastic differential equations (FBSDEs). Our approach is based on weak convergence techniques for the associated \FBSDEs\ in the Jakubowski S-topology and a suitable Skorokhod representation theorem.
https://hal-univ-tln.archives-ouvertes.fr/hal-01297356
Contributor : Khaled Bahlali Connect in order to contact the contributor
Submitted on : Monday, April 4, 2016 - 11:00:41 AM
Last modification on : Tuesday, December 7, 2021 - 3:16:02 PM
Contributor : Khaled Bahlali Connect in order to contact the contributor
Submitted on : Monday, April 4, 2016 - 11:00:41 AM
Last modification on : Tuesday, December 7, 2021 - 3:16:02 PM