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

DOI10.1080/17442501003624415MaRDI QIDQ3585332zbMATH OpenOpenAlexFDO

Authors Rainer Buckdahn, Boubakeur Labed, Catherine Rainer

Publication date 19 August 2010

Published in Stochastics (Search for Journal in Brave)

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

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)

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.

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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
• scientific article; zbMATH DE number 4006130 (Why is no real title available?)
• 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
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