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http://archives.univ-biskra.dz/handle/123456789/2270| Title: | Existence and optimality conditions in stochastic control of linear BSDEs |
| Authors: | K. Bahlali B. Gherbal B. Mezerdi |
| Keywords: | Keywords : Forward backward stochastic differential equation; Stochastic control; Weak convergence; Existence |
| Issue Date: | 11-Apr-2014 |
| Abstract: | 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. Link http://www.degruyter.com/view/j/rose.2010.18.issue-3/rose.2010.010/rose.2010.010.xml?format=INT |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2270 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Existence of optimal controls for systems driven by FBSDEs.pdf | 36,39 kB | Adobe PDF | View/Open |
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