Existence and optimality conditions in stochastic control of linear BSDEs

  • Khaled Bahlali*
  • , Boulakhrass Gherbal
  • , Brahim Mezerdi
  • *Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

We consider control problems for systems driven by linear backward stochastic differential equations (BSDEs). We prove the existence of strict optimal controls under the convexity of the control domain as well as the cost functional. Our approach is based on strong convergence techniques for the associated linear BSDEs. Moreover, we establish necessary as well as sufficient conditions of optimality, satisfied by an optimal strict control. The proof of this result is based on the convex optimization principle.

Original languageEnglish
Pages (from-to)185-197
Number of pages13
JournalRandom Operators and Stochastic Equations
Volume18
Issue number3
DOIs
StatePublished - Sep 2010
Externally publishedYes

Keywords

  • Backward stochastic differential equation
  • Maximum principle
  • Stochastic control

ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability

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