Existence of an optimal control for stochastic control systems with nonlinear cost functional

DOI10.1080/17442501003624415zbMATH Open1200.93137arXiv0902.2693OpenAlexW2047335071MaRDI QIDQ3585332FDOQ3585332

Authors: Rainer Buckdahn, Boubakeur Labed, Catherine Rainer 

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Abstract: We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate convexity assumptions on the coefficients of the forward and the backward equations we prove the existence of an optimal control on a suitable reference stochastic system. The proof is based on an approximation of the stochastic control problem by a sequence of control problems with smooth coefficients, admitting an optimal feedback control. The quadruplet formed by this optimal feedback control and the associated solution of the forward and the backward equations is shown to converge in law, at least along a subsequence. The convexity assumptions on the coefficients then allow to construct from this limit an admissible control process which, on an appropriate reference stochastic system, is optimal for our stochastic control problem.

Full work available at URL: https://arxiv.org/abs/0902.2693

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zbMATH Keywords

backward stochastic differential equationsoptimal controlstochastic control systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control problems involving ordinary differential equations (34H05) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cited In (23)

• Optimal Control of Stochastic Parametrically and Externally Excited Nonlinear Control Systems
• On the existence of optimal controls for backward stochastic partial differential equations
• On optimal control of forward-backward stochastic differential equations
• Title not available (Why is that?)
• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• Two-stage stochastic optimal control problem under \(G\)-expectation
• Near-maximum principle for general recursive utility optimal control problem
• Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• A stochastic recursive optimal control problem under the G-expectation framework
• Stochastic verification theorem of forward-backward controlled systems for viscosity solutions
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Adjoint-based calibration of nonlinear stochastic differential equations
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
• Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient
• A criterion for the existence of nondestructive controls in the problem of optimal exploitation of a binary-structured system
• Existence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equations
• Existence of optimal controls for systems driven by FBSDEs
• Existence of the optimal control for stochastic boundary control problems governed by semilinear parabolic equations
• Existence of optimal controls for systems of controlled forward-backward doubly SDEs
• Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain

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