Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient

DOI10.1080/17442508.2018.1427750zbMATH Open1498.60195arXiv1702.00194OpenAlexW2586055295MaRDI QIDQ5086449FDOQ5086449

Authors: Khaled Bahlali, Omar Kebiri, Brahim Mezerdi, Ahmed Mtiraoui 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential equation (BSDE), at the initial time. Our goal is to find an optimal control which minimizes the cost functional. The method consists to construct a sequence of approximating controlled systems for which we show the existence of a sequence of feedback optimal controls. By passing to the limit, we establish the existence of a relaxed optimal control to the initial problem. The existence of a strict control follows from the Filippov convexity condition. Our results improve in some sense those of Buckdahn et al..

Full work available at URL: https://arxiv.org/abs/1702.00194

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal controlstochastic controlrelaxed controlforward-backward stochastic differential equationsstrict control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (5)

• Optimal control of diffusion coefficients via decoupling fields
• Optimal relaxed control for a decoupled \(G\)-FBSDE
• 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 optimal controls for SPDE with locally monotone coefficients

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