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

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

Khaled Bahlali2009

Article2009

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

Khaled Bahlali · Nabil Khelfallah · Brahim Mezerdi

34 citations·0/0 files stored·Systems & Control Letters

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Stochastic processes and financial applications Optimization and Variational Analysis Stability and Controllability of Differential Equations

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control 1993Backward stochastic differential equations and applications to optimal control 1995Stochastic maximum principle for optimal control problem of forward and backward system 1999Stochastic Controls with Terminal Contingent Conditions 1998Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality

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2011Existence of optimal controls for systems driven by FBSDEs

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Year2009

Typearticle

Published2009-11-16

VenueSystems & Control Letters

ISSN-L0167-6911

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.sysconle.2009.10.005

openalex_workW2005407396

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