| Autor: |
Baghery, F., Khelfallah, N., Mezerdi, B., Turpin, I. |
| Zdroj: |
Afrika Matematica; Dec2017, Vol. 28 Issue 7/8, p1075-1092, 18p |
| Abstrakt: |
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are measure-valued processes, generalizing the usual strict controls. The proof is based on some tightness properties and weak convergence on the space $$\mathcal {D}$$ of càdlàg functions, endowed with the Jakubowsky S-topology. Moreover, under some convexity assumptions, we show that the relaxed optimal control is realized by a strict control. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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