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Title: Existence of optimal controls for systems driven by FBSDEs
Authors: Khaled Bahlali
Boulekhrass Gherbal
Brahim Mezerdi
Keywords: Forward backward stochastic differential equation; Stochastic control; Weak convergence; Existence.
Issue Date: 21-May-2014
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
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