The maximum principle for the nonlinear stochastic optimal control problem of switching systems
DOI10.1007/s10898-011-9825-8zbMath1272.93126MaRDI QIDQ2392780
Charkaz Aghayeva, Qurban Abushov
Publication date: 2 August 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-011-9825-8
maximum principle; admissible controls; nonlinear stochastic differential equations; switching system; stochastic optimal control problem; switching law; adjoint stochastic differential equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C10: Nonlinear systems in control theory
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
93C30: Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems)
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