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

Charkaz Aghayeva () and Qurban Abushov ()

Journal of Global Optimization, 2013, vol. 56, issue 2, 352 pages

Abstract: The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints. Copyright Springer Science+Business Media, LLC. 2013

Keywords: Switching system; Nonlinear stochastic differential equations; Stochastic optimal control problem; Maximum principle; Admissible controls; Adjoint stochastic differential equations; Switching law (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10898-011-9825-8

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