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On Optimal Control of Forward Backward Stochastic Differential Equations by Baghery, Fouzia; Khelfallah, Nabil; Mezerdi, Brahim; Turpin, Isabelle is a scholarly article available to read on EtoBox.

What is On Optimal Control of Forward Backward Stochastic Differential Equations about?

We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are measure-valued processes, generalizing the usual strict controls. The proof is based on some tightness properties and weak convergence on the space D of c\`adl\`ag functions, endowed with the Jakubowsky S-topology. Moreover, under some convexity assumptions, we show that the relaxed optimal control is realized by a strict control.

Author

Baghery, Fouzia; Khelfallah, Nabil; Mezerdi, Brahim; Turpin, Isabelle

Published

2017

Language

EN