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math.PR2017
On the solvability of forward-backward stochastic differential equations driven by Teugels Martingales
Dalila Guerdouh, Nabil Khelfallah, Brahim Mezerdi
We deal with a class of fully coupled forward-backward stochastic differential equations (FBSDE for short), driven by Teugels martingales associated with some Lévy process. Under s…
math.OC2017
On optimal control of forward backward stochastic differential equations
Fouzia Baghery, Nabil Khelfallah, Brahim Mezerdi +1
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…