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

DOI10.1080/17442508.2018.1427750zbMath1498.60195arXiv1702.00194OpenAlexW2586055295MaRDI QIDQ5086449

Khaled Bahlali, Ahmed Mtiraoui, Brahim Mezerdi, Omar Kebiri

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

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

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationstochastic controlforward-backward stochastic differential equationsrelaxed controlstrict control

Mathematics Subject Classification ID

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

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