Abstract
AbstractWe wish to study a class of optimal controls for problems governed by forward-backward doubly stochastic differential equations (FBDSDEs). Firstly, we prove existence of optimal relaxed controls, which are measure-valued processes for nonlinear FBDSDEs, by using some tightness properties and weak convergence techniques on the space of Skorokhod{\mathbb{D}}equipped with theS-topology of Jakubowski. Moreover, when the Roxin-type convexity condition is fulfilled, we prove that the optimal relaxed control is in fact strict. Secondly, we prove the existence of a strong optimal controls for a linear forward-backward doubly SDEs. Furthermore, we establish necessary as well as sufficient optimality conditions for a control problem of this kind of systems. This is the first theorem of existence of optimal controls that covers the forward-backward doubly systems.
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