Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs

DOI10.1016/j.sysconle.2009.10.005zbMath1191.93142OpenAlexW2005407396MaRDI QIDQ976185

Brahim Mezerdi, Khaled Bahlali, Nabil Khelfallah

Publication date: 17 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2009.10.005

zbMATH Keywords

maximum principlestochastic controladjoint equationforward-backward stochastic differential equationsEkeland's variational principal

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• The maximum principle for optimal control of diffusions with non-smooth coefficients
• Backward Stochastic Differential Equations in Finance
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• Stochastic maximum principle for optimal control problem of forward and backward system

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