L^p estimations of fully coupled FBSDEs

MaRDI QIDQ6099690zbMATH OpenFDO

Authors Qingxin Meng, Shuzhen Yang

Publication date 20 June 2023

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.10910, http://www.sciencedirect.com/science/journal/01676911

zbMATH Keywords

\( L^p\) estimationsFBSDEsoptimal control

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: In this study, for any given terminal time $T$, we establish an $L^p$ ($P>2$) estimations of fully coupled FBSDEs based on the $L^2$ estimations. Yong [24] proposed that a natural question is whether an adapted $L^2$-solution is an adapted $L^p$ solution for some $p>2$. In this study, we give a positive answer to this question. For any given terminal time $T$, based on an observation of the relation between $L^2$ and $L^p$ estimations of FBSDEs, we prove that a unique $L^2$-solution of fully coupled FBSDEs is an $L^p$-solution under standard conditions on the coefficients. Furthermore, we show that the fully coupled FBSDEs developed in the linear quadratic optimal control problem or investigated by the "decoupling random field" method admit a unique $L^p$-solution.

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Cited in

(7)

• \(L^p\) estimates for fully coupled FBSDEs with jumps
• \(L^p\)-theory of forward-backward stochastic differential equations
• \(L^p\)-estimate for linear forward-backward stochastic differential equations
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• Well-posedness and comparison theorems of coupled mean-field forward-backward stochastic differential equations
• L^p-estimate for mean-field type FBSDEs
• A general maximum principle for progressive optimal control of fully coupled forward-backward stochastic systems with jumps

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