The maximum principle for the nonlinear stochastic optimal control problem of switching systems

The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints. Copyright Springer Science+Business Media, LLC. 2013

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Year of publication:	2013
Authors:	Aghayeva, Charkaz ; Abushov, Qurban
Published in:	Journal of Global Optimization. - Springer. - Vol. 56.2013, 2, p. 341-352
Publisher:	Springer
Subject:	Switching system \| Nonlinear stochastic differential equations \| Stochastic optimal control problem \| Maximum principle \| Admissible controls \| Adjoint stochastic differential equations \| Switching law

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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