Existence of optimal controls for systems driven by FBSDEs

Khaled Bahlali; Boulekhrass Gherbal; Brahim Mezerdi

doi:10.1016/j.sysconle.2011.02.011

Existence of optimal controls for systems driven by FBSDEs

Khaled Bahlali
, Boulekhrass Gherbal
, Brahim Mezerdi^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

25 Scopus citations

Abstract

We prove the existence of optimal relaxed controls as well as strict optimal controls for systems governed by non linear forwardbackward 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.

Original language	English
Pages (from-to)	344-349
Number of pages	6
Journal	Systems and Control Letters
Volume	60
Issue number	5
DOIs	https://doi.org/10.1016/j.sysconle.2011.02.011
State	Published - May 2011
Externally published	Yes

Bibliographical note

Funding Information:
Partially supported by CMEP, PHC Tassili no. 07 MDU 705 and Marie Curie ITN no. 213841-2.

Keywords

Existence
Forward backward stochastic differential equation
Stochastic control
Weak convergence

ASJC Scopus subject areas

Control and Systems Engineering
General Computer Science
Mechanical Engineering
Electrical and Electronic Engineering

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10.1016/j.sysconle.2011.02.011

Cite this

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title = "Existence of optimal controls for systems driven by FBSDEs",

abstract = "We prove the existence of optimal relaxed controls as well as strict optimal controls for systems governed by non linear forwardbackward 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",

author = "Khaled Bahlali and Boulekhrass Gherbal and Brahim Mezerdi",

note = "Funding Information: Partially supported by CMEP, PHC Tassili no. 07 MDU 705 and Marie Curie ITN no. 213841-2. ",

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T1 - Existence of optimal controls for systems driven by FBSDEs

AU - Bahlali, Khaled

AU - Gherbal, Boulekhrass

AU - Mezerdi, Brahim

N1 - Funding Information: Partially supported by CMEP, PHC Tassili no. 07 MDU 705 and Marie Curie ITN no. 213841-2.

PY - 2011/5

Y1 - 2011/5

N2 - We prove the existence of optimal relaxed controls as well as strict optimal controls for systems governed by non linear forwardbackward 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.

AB - We prove the existence of optimal relaxed controls as well as strict optimal controls for systems governed by non linear forwardbackward 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.

KW - Existence

KW - Forward backward stochastic differential equation

KW - Stochastic control

KW - Weak convergence

UR - https://www.scopus.com/pages/publications/79955058930

U2 - 10.1016/j.sysconle.2011.02.011

DO - 10.1016/j.sysconle.2011.02.011

M3 - Article

AN - SCOPUS:79955058930

SN - 0167-6911

VL - 60

SP - 344

EP - 349

JO - Systems and Control Letters

JF - Systems and Control Letters

IS - 5

ER -

Existence of optimal controls for systems driven by FBSDEs

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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Cite this