Second-order Taylor expansion for backward doubly stochastic control system

DOI10.1080/00207179.2013.766940zbMath1278.93295OpenAlexW2111399283MaRDI QIDQ2871779

Bin Liu, Weifeng Wang

Publication date: 9 January 2014

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2013.766940

zbMATH Keywords

optimal controlTaylor expansionbackward doubly stochastic differential equationspike variationstochastic Hamilton system

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Control problems for functional-differential equations (34K35) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Necessary condition for optimal control of doubly stochastic systems

Cites Work

• Stochastic maximum principle for distributed parameter systems
• Stochastic calculus with anticipating integrands
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Conjugate convex functions in optimal stochastic control
• Backward stochastic differential equations and applications to optimal control
• Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
• A General Stochastic Maximum Principle for Optimal Control Problems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
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