Skip to Main content Skip to Navigation
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
Complete list of metadatas
https://hal-univ-tln.archives-ouvertes.fr/hal-01297356
Contributor : Khaled Bahlali <>
Submitted on : Monday, April 4, 2016 - 11:00:41 AM
Last modification on : Tuesday, June 19, 2018 - 3:50:01 PM

Identifiers

Collections

UNIV-TLN | TDS-MACS | INSMI | IMATH

Citation

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⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

183