The maximum principle for the nonlinear stochastic optimal control problem of switching systems
maximum principlestochastic optimal control problemswitching systemswitching lawnonlinear stochastic differential equationsadmissible controlsadjoint stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Optimal stochastic control (93E20)
- Stochastic maximum principle for nonlinear optimal control problem of switching systems
- Stochastic optimal control problem for switching systems with constraints
- Necessary conditions of optimality for stochastic switching control systems
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