Stochastic Verification Theorem of Forward-Backward Controlled Systems for Viscosity Solutions

Details Stochastic Verification Theorem of Forward-Backward Controlled Systems for Viscosity Solutions Stochastic Verification Theorem of Forward-Backward Controlled Systems for Viscosity Solutions

2010-10-27

arxiv.org/abs/1010.5742v6

Mathematics

Optimization and Control

Scientific paper

In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the framework of viscosity solutions without involving any derivatives of the value functions. It is worth to pointing out that this theorem has wider applicability than the restrictive classical verification theorems. As a relevant problem, the optimal stochastic feedback controls for forward-backward system are discussed as well.

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