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Theory of Stochastic Processes, 2007, Volume 13(29), Issue 3, Pages 3–11 (Mi thsp223)  
On one stochastic optimal control problem with variable delay

Ch. A. Agayevaa, J. J. Allahverdiyeva

a Baku State University, Institute of Cybernetics, Baku, Azerbaijan, Yasar University, Izmir, Turkey
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Abstract: The purpose of this paper is to give necessary conditions for the optimality of non- linear stochastic control systems with variable delay and with constraint on the right end of a trajectory. The necessary optimality conditions in the form of a stochastic analogy of the maximum principle are obtained. These conditions are contained in Theorems 1 and 2.
Keywords: Stochastic differential equations, variable delay, stochastic optimal control problem, necessary conditions of optimality, admissible controls.
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Document Type: Article
MSC: 93E20
Language: English
Citation: Ch. A. Agayeva, J. J. Allahverdiyeva, “On one stochastic optimal control problem with variable delay”, Theory Stoch. Process., 13(29):3 (2007), 3–11
Citation in format AMSBIB
\Bibitem{AgaAll07}
\by Ch.~A.~Agayeva, J.~J.~Allahverdiyeva
\paper On one stochastic optimal control
problem with variable delay
\jour Theory Stoch. Process.
\yr 2007
\vol 13(29)
\issue 3
\pages 3--11
\mathnet{http://mi.mathnet.ru/thsp223}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2396059}
\zmath{https://zbmath.org/?q=an:1199.93278}
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