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

zbMATH Keywords

maximum principle; admissible controls; nonlinear stochastic differential equations; switching system; stochastic optimal control problem; switching law; adjoint stochastic differential equations

Mathematics Subject Classification ID

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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