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Journal Articles Systems and Control Letters Year : 2011

Existence of a stochastic optimal control for systems driven by FBSDEs

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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.
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Dates and versions

hal-01297356 , version 1 (04-04-2016)

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Khaled Bahlali, Boulekhrass Gherbal, Brahim Mezerdi. Existence of a stochastic optimal control for systems driven by FBSDEs. Systems and Control Letters, 2011, 60 (5), pp.344 - 349. ⟨10.1016/j.sysconle.2011.02.011⟩. ⟨hal-01297356⟩
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