Forward–backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems

Abstract

This paper focuses on the study of forward–backward stochastic evolution equations (FBSEEs), which are a class of nonlinear fully coupled forward–backward stochastic differential equations (FBSDEs), in infinite dimensions. Drawing inspiration from various linear-quadratic (LQ) optimal control problems, we apply a set of domination-monotonicity conditions that are more relaxed compared to general conditions. Within this framework, we employ the method of continuation to establish the unique solvability result and provide a pair of solution estimates. Notably, to address the challenges posed by the infinite-dimensional setting, we introduce a class of approximating equations, as Itô’s formula is not directly applicable. Conversely, these results find application in various LQ problems, where the stochastic Hamiltonian systems precisely correspond to the FBSEEs satisfying the aforementioned domination-monotonicity conditions. Consequently, by solving the corresponding stochastic Hamiltonian systems, we can obtain explicit expressions for the optimal controls.