Second-order Taylor expansion for backward doubly stochastic control system

作者：Wang Weifeng; Liu Bin^*

来源：International Journal of Control, 2013, 86(5): 942-952.

DOI：10.1080/00207179.2013.766940

• backward doubly stochastic differential equation
• Taylor expansion
• optimal control
• stochastic Hamilton system
• spike variation
• 34K35
• 93E03
• 93E20
• 60H15
• 60H30

We consider the second-order Taylor expansion for backward doubly stochastic control system. The results are obtained under no restriction on the convexity of control domain. Moreover, the control variable is allowed in the drift coefficient and the diffusion coefficient.

• 出版日期2013-5-1
• 单位华中科技大学