Stochastic maximum principle for nonlinear optimal control problem of switching systems

DOI10.1016/J.CAM.2013.06.010MaRDI QIDQ2349600zbMATH OpenOpenAlexFDO

Authors 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

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

(9)

• scientific article; zbMATH DE number 610179 (Why is no real title available?)
• Algorithms for optimal control of stochastic switching systems
• A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
• Stochastic optimal control problem of constrained switching system with delay
• Distributed control problems for a class of degenerate semilinear evolution equations
• Stochastic linear quadratic control problem of switching systems with constraints
• Stochastic optimal control problem for switching systems with constraints
• The maximum principle for the nonlinear stochastic optimal control problem of switching systems
• Stochastic singular optimal control problem of switching systems with constraints

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