Title of article
Existence of optimal controls for systems driven by FBSDEs
Author/Authors
Bahlali، نويسنده , , Khaled and Gherbal، نويسنده , , Boulekhrass and Mezerdi، نويسنده , , Brahim، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2011
Pages
6
From page
344
To page
349
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
existence , Forward backward stochastic differential equation , stochastic control , weak convergence
Journal title
Systems and Control Letters
Serial Year
2011
Journal title
Systems and Control Letters
Record number
1675726
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