On optimal control of forward-backward stochastic differential equations

DOI10.1007/s13370-017-0504-xzbMath1387.93178arXiv1701.08392OpenAlexW2585655429MaRDI QIDQ1693961

Isabelle Turpin, Nabil Khelfallah, Brahim Mezerdi, Fouzia Baghery

Publication date: 1 February 2018

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.08392

zbMATH Keywords

stochastic controltightnessforward-backward stochastic differential equationrelaxed controlMeyer-Zheng topologyJakubowsky S-topology

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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On stochastic control for time changed Lévy dynamics

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