Stochastic Verification Theorem of Forward-Backward Controlled Systems for Viscosity Solutions
classification
🧮 math.OC
cs.SY
keywords
forward-backwardstochastictheoremverificationcontrolledsolutionssystemviscosity
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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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