Аннотация:
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.
Ключевые слова: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.
Полный текст:
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