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• W2585655429 abstract "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." @default.
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• W2585655429 date "2017-05-18" @default.
• W2585655429 modified "2023-10-10" @default.
• W2585655429 title "On optimal control of forward–backward stochastic differential equations" @default.
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• W2585655429 doi "https://doi.org/10.1007/s13370-017-0504-x" @default.
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