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

DOI10.1016/J.SYSCONLE.2009.10.005zbMATH Open1191.93142OpenAlexW2005407396MaRDI QIDQ976185FDOQ976185

Authors Khaled Bahlali, Nabil Khelfallah, Brahim Mezerdi 

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 principleadjoint equationstochastic controlforward-backward stochastic differential equationsEkeland's variational principal

Mathematics Subject Classification ID

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

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Cites work

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• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• Stochastic controls with terminal contingent conditions
• Stochastic maximum principle for optimal control problem of forward and backward system
• The maximum principle for optimal control of diffusions with non-smooth coefficients
• The variational principle and stochastic optimal control

Cited in

(28)

• Near-optimal control for stochastic recursive problems
• Near-maximum principle for general recursive utility optimal control problem
• Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps
• Necessary condition for near optimal control of linear forward-backward stochastic differential equations
• Necessary and sufficient conditions for near-optimality of stochastic delay systems
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps
• Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
• On optimal control of coupled mean-field forward-backward stochastic equations
• Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system
• Near optimality conditions in stochastic control of jump diffusion processes
• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
• On optimal control of forward-backward stochastic differential equations
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications
• Maximum principle for near-optimality of stochastic delay control problem
• Maximum principle for near-optimality of mean-field FBSDEs
• On necessary and sufficient conditions for near-optimal singular stochastic controls
• Near-optimal control problems for forward-backward regime-switching systems
• Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
• Near-optimal control problems for linear forward-backward stochastic systems
• Necessary and sufficient conditions for near‐optimal controls of a stochastic West Nile virus system with spatial diffusion
• Near-optimal control of stochastic recursive systems via viscosity solution
• Near-optimal stochastic control for radiotherapy treatment in a random cancer model
• scientific article; zbMATH DE number 5259916 (Why is no real title available?)
• Existence of optimal controls for systems driven by FBSDEs
• Forward-backward linear quadratic stochastic optimal control problem with delay
• A revisit to stochastic near-optimal controls: the critical case
• Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients

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