| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 752525 | Systems & Control Letters | 2011 | 6 Pages |
Abstract
We prove the existence of optimal relaxed controls as well as strict optimal controls for systems governed by non linear forward–backward stochastic differential equations (FBSDEs). Our approach is based on weak convergence techniques for the associated FBSDEs in the Jakubowski S-topology and a suitable Skorokhod representation theorem.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Khaled Bahlali, Boulekhrass Gherbal, Brahim Mezerdi,