Existence of optimal controls for systems of controlled forward-backward doubly SDEs

Abstract

<jats:title>Abstract</jats:title><jats:p>We 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 <jats:inline-formula id="j_rose-2020-2031_ineq_9999_w2aab3b7d565b1b6b1aab1c15b1b1Aa"><jats:alternatives><jats:tex-math>{\mathbb{D}}</jats:tex-math></jats:alternatives></jats:inline-formula> equipped with the <jats:italic>S</jats:italic>-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.</jats:p>