Stochastic maximum principle for nonlinear optimal control problem of switching systems

DOI10.1016/J.CAM.2013.06.010zbMATH Open1320.93086OpenAlexW2091929087MaRDI QIDQ2349600FDOQ2349600

Qurban Abushov, Charkaz Aghayeva

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.06.010

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zbMATH Keywords

maximum principlestochastic optimal control problemswitching systemswitching lawnonlinear stochastic differential equationsadjoint stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (4)

• Stochastic linear quadratic control problem of switching systems with constraints
• Title not available (Why is that?)
• Distributed control problems for a class of degenerate semilinear evolution equations
• Stochastic singular optimal control problem of switching systems with constraints

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