arXiv subjects

Nabil Khelfallah

Publications and source records attributed to Nabil Khelfallah.

3 recordsLinked to original sources

arXiv2019

Approximation and generic properties of McKean-Vlasov stochastic equations with continuous coefficients

We consider various approximation properties for systems driven by a Mc Kean-Vlasov stochastic differential equations (MVSDEs) with continuous coefficients, for which pathwise uniqueness holds. We prove that the solution of such equations is stable with respect to small perturbation of initial conditions, parameters and driving processes. Moreover, the unique strong solutions may be constructed by effective approximation procedures, without using the famous Yamada-Watanabe theorem. Finally we show that the set of bounded uniformly continuous coefficients for which the corresponding MVSDE have a unique strong solution is a set of second category in the sense of Baire.

math.PR↗

arXiv2017

On optimal control of forward backward stochastic differential equations

We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are measure-valued processes, generalizing the usual strict controls. The proof is based on some tightness properties and weak convergence on the space D of càdlàg functions, endowed with the Jakubowsky S-topology. Moreover, under some convexity assumptions, we show that the relaxed optimal control is realized by a strict control.

math.OC↗

arXiv2017

On the solvability of forward-backward stochastic differential equations driven by Teugels Martingales

We deal with a class of fully coupled forward-backward stochastic differential equations (FBSDE for short), driven by Teugels martingales associated with some Lévy process. Under some assumptions on the derivatives of the coefficients, we prove the existence and uniqueness of a global solution on an arbitrarily large time interval. Moreover, we establish stability and comparison theorems for the solutions of such equations. Note that the present work extends known results by Jianfeng Zhang (Discrete Contin. Dyn. Syst. Ser. B 6 (2006), no. 4, 927--940), proved for FBSDEs driven by a Brownian motion, to FBSDEs driven by general Lévy processes.

math.PR↗