On optimal control of forward-backward stochastic differential equations
From MaRDI portal
Publication:1693961
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
stochastic controltightnessforward-backward stochastic differential equationrelaxed controlMeyer-Zheng topologyJakubowsky S-topology
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Existence of optimal controls for systems driven by FBSDEs
- Adapted solution of a backward stochastic differential equation
- Convergence in various topologies for stochastic integrals driven by semimartingales
- Tightness criteria for laws of semimartingales
- Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
- Approximation and optimality necessary conditions in relaxed stochastic control problems
- Forward-backward stochastic differential equations and their applications
- Stochastic controls with terminal contingent conditions
- A non-Skorokhod topology on the Skorokhod space
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Backward stochastic differential equations and applications to optimal control
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- Existence and optimality conditions in stochastic control of linear BSDEs
- Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
- Existence of an optimal control for stochastic control systems with nonlinear cost functional
- Théorie probabiliste du contrôle des diffusions
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Backward Stochastic Differential Equations in Finance
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Necessary conditions for optimality in relaxed stochastic control problems