Second-order Taylor expansion for backward doubly stochastic control system

DOI10.1080/00207179.2013.766940zbMath1480.93449OpenAlexW2111399283MaRDI QIDQ5022828

Bin Liu, Weifeng Wang

Publication date: 19 January 2022

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) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Cites Work

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• 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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