C. A. Agayeva, Q. U. Abushov, “The maximum principle for some nonlinear stochastic control system with variable structure”, Theory Stoch. Process., 2010, Volume 16(32), Issue 1,Pages <nobr>1

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

C. A. Agayeva^a, Q. U. Abushov^b

^a Yasar University, Izmir, Turkey
^b Institute of Cybernetics, Azerbaijan

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.

MSC: 93E20

Language: English