The maximum principle for the nonlinear stochastic optimal control problem of switching systems

DOI10.1007/s10898-011-9825-8zbMath1272.93126OpenAlexW1986908244MaRDI 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 principleadmissible controlsnonlinear stochastic differential equationsswitching systemstochastic optimal control problemswitching lawadjoint stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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