most citedExistence of an Optimal Control for a coupled FBSDE with a non degenerate diffusion coefficient

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math.OC2017★ 2 cited

Existence of an Optimal Control for a coupled FBSDE with a non degenerate diffusion coefficient

Khaled Bahlali, Omar Kebiri, Brahim Mezerdi +1

We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the s…