Necessary condition for optimal control of doubly stochastic systems (Q2197193)

Extending the work by \textit{L. Zhang} and \textit{Y. Shi} [ESAIM, Control Optim. Calc. Var. 17, No. 4, 1174--1197 (2011; Zbl 1236.93155)], the authors provide a pointwise second order necessary condition for the optimal control of systems governed by forward-backward doubly stochastic equations of the form \begin{align*} dx(t) &= b(t, x(t), u(t)) dt+ \sigma(t, x(t),u(t)) dW(t),\quad x(0)\in\mathbb{R}^n,\\ dy(t) &=- f(t, x(t), y(t), z(t),u(t)) dt- g(t, x(t), y(t))d\overleftarrow{B}(t),\quad y(T)= \Phi(x(T)), \end{align*} where \(u\) is the control function, \(\{W(t)\}\) and \(\{\overleftarrow{B}(t)\}\) are mutually independent standard Brownian motions, the integral with respect to \(dW(t)\) a standard (``forward'') Itô integral, and the integral with respect to \(d\overleftarrow{B}(t)\) a ``backward'' Itô integral, see [\textit{J.-M. Bismut}, SIAM Rev. 20, 62--78 (1978; Zbl 0378.93049)]. The decisive tool when dealing with the corresponding variational inequality and maximum principle for the optimal control is a pair of new adjoint stochastic differential equations containing the Brownian motions corresponding to the forward and backward components of the system. The question of constraints is settled by means of the variational principle of \textit{I. Ekelund} [J. Math. Anal. Appl. 47, 324--353 (1974; Zbl 0286.49015)].