Existence and optimality conditions in stochastic control of linear BSDEs

DOI10.1515/ROSE.2010.010zbMath1226.49016MaRDI QIDQ3103219

Boulekhrass Gherbal, Brahim Mezerdi, Khaled Bahlali

Publication date: 26 November 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

maximum principle; stochastic control; backward stochastic differential equation

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Optimal variational principle for backward stochastic control systems associated with Lévy processes, Existence of optimal controls for systems driven by FBSDEs, Existence of optimal controls for systems of controlled forward-backward doubly SDEs, Near-optimality conditions in stochastic control of linear fully coupled FBSDEs, On optimal control of forward-backward stochastic differential equations

Cites Work

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• Existence results for optimal stochastic controls
• Backward stochastic differential equations and applications to optimal control
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• Stochastic maximum principle for optimal control problem of forward and backward system