Existence of a stochastic optimal control for systems driven by FBSDEs

Khaled Bahlali; Boulekhrass Gherbal; Brahim Mezerdi

doi:10.1016/j.sysconle.2011.02.011

Journal articles

Existence of a stochastic optimal control for systems driven by FBSDEs

Khaled Bahlali ¹ Boulekhrass Gherbal ² Brahim Mezerdi ²

1 IMATH - Institut de Mathématiques de Toulon - EA 2134

2 BISKRA - Université Mohamed Khider de Biskra

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.

Keywords : Forward backward stochastic differential equation

Document type :

Journal articles

Domain :

Mathematics [math] / Probability [math.PR]

Computer Science [cs] / Systems and Control [cs.SY]

Mathematics [math] / Analysis of PDEs [math.AP]

Complete list of metadata

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

Existence of a stochastic optimal control for systems driven by FBSDEs

Identifiers

Collections

Citation

Export

Metrics

90

Existence of a stochastic optimal control for systems driven by FBSDEs

Identifiers

Collections

Citation

Export

Share

Metrics

90