Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient

Khaled Bahlali; O. Kebiri; B. Mezerdi; A. Mtiraoui

doi:10.1080/17442508.2018.1427750

Journal Articles Stochastics: An International Journal of Probability and Stochastic Processes Year : 2018

Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient

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Khaled Bahlali

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Institut de Mathématiques de Toulon - EA 2134

O. Kebiri

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B. Mezerdi

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A. Mtiraoui

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Institut de Mathématiques de Marseille

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Mathematics [math] Probability [math.PR]

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https://hal-univ-tln.archives-ouvertes.fr/hal-01824474

Submitted on : Wednesday, June 27, 2018-11:44:27 AM

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hal-01824474 , version 1 (27-06-2018)

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HAL Id : hal-01824474 , version 1
DOI : 10.1080/17442508.2018.1427750

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Khaled Bahlali, O. Kebiri, B. Mezerdi, A. Mtiraoui. Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient. Stochastics: An International Journal of Probability and Stochastic Processes, 2018, 90 (6), pp.861 - 875. ⟨10.1080/17442508.2018.1427750⟩. ⟨hal-01824474⟩

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Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient

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