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Theory of Stochastic Processes, 2010, Volume 16(32), Issue 1, Pages 1–11 (Mi thsp54)  
This article is cited in 1 scientific paper (total in 1 paper)

The maximum principle for some nonlinear stochastic control system with variable structure

C. A. Agayevaa, Q. U. Abushovb

a Yasar University, Izmir, Turkey
b Institute of Cybernetics, Azerbaijan
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Abstract: Necessary conditions of optimality are derived for the stochastic control problem for a dynamical system with variable structure. The system is described by stochastic differential equations, when a control enters the drift and diffusion coefficients. The maximum principle for some non-linear stochastic control system with endpoint constraint is proved.
Keywords: Variable structure system, nonlinear stochastic differential equations, stochastic optimal control problem, maximum principle, admissible controls, adjoint stochastic differential equations, optimal control problem with constraint, Ekeland variation principle.
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Document Type: Article
MSC: 93E20
Language: English
Citation: C. A. Agayeva, Q. U. Abushov, “The maximum principle for some nonlinear stochastic control system with variable structure”, Theory Stoch. Process., 16(32):1 (2010), 1–11
Citation in format AMSBIB
\Bibitem{AgaAbu10}
\by C.~A.~Agayeva, Q.~U.~Abushov
\paper The maximum principle for some nonlinear stochastic control system with variable structure
\jour Theory Stoch. Process.
\yr 2010
\vol 16(32)
\issue 1
\pages 1--11
\mathnet{http://mi.mathnet.ru/thsp54}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2779846}
\zmath{https://zbmath.org/?q=an:1224.93129}
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