International Journal of Control, Vol.86, No.5, 942-952, 2013
Second-order Taylor expansion for backward doubly stochastic control system
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.
Keywords:backward doubly stochastic differential equation;Taylor expansion;optimal control;stochastic Hamilton system;spike variation;34K35;93E03;93E20;60H15;60H30