Ch. A. Agayeva, J. J. Allahverdiyeva, “On one stochastic optimal control problem with variable delay”, Theory Stoch. Process., 2007, Volume 13(29), Issue 3,Pages <nobr>3

On one stochastic optimal control problem with variable delay

Ch. A. Agayeva^a, J. J. Allahverdiyeva

^a Baku State University, Institute of Cybernetics, Baku, Azerbaijan, Yasar University, Izmir, Turkey

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.

MSC: 93E20

Language: English