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.
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Systems and Control Letters, Elsevier, 2011, 60 (5), pp.344 - 349. 〈10.1016/j.sysconle.2011.02.011〉
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https://hal-univ-tln.archives-ouvertes.fr/hal-01297356
Contributeur : Khaled Bahlali <>
Soumis le : lundi 4 avril 2016 - 11:00:41
Dernière modification le : mardi 19 juin 2018 - 15:50:01

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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, Elsevier, 2011, 60 (5), pp.344 - 349. 〈10.1016/j.sysconle.2011.02.011〉. 〈hal-01297356〉

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