Existence and optimality conditions in stochastic control of linear BSDEs

DOI10.1515/ROSE.2010.010zbMath1226.49016MaRDI QIDQ3103219

Boulekhrass Gherbal, Brahim Mezerdi, Khaled Bahlali

Publication date: 26 November 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

maximum principlestochastic controlbackward stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

Near-optimality conditions in stochastic control of linear fully coupled FBSDEs ⋮ On optimal control of forward-backward stochastic differential equations ⋮ Optimal variational principle for backward stochastic control systems associated with Lévy processes ⋮ Existence of optimal controls for systems driven by FBSDEs ⋮ Existence of optimal controls for systems of controlled forward-backward doubly SDEs

Cites Work

• Adapted solution of a backward stochastic differential equation
• Stochastic controls with terminal contingent conditions
• Conjugate convex functions in optimal stochastic control
• Existence results for optimal stochastic controls
• Backward stochastic differential equations and applications to optimal control
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• Stochastic maximum principle for optimal control problem of forward and backward system

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