Yazar
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Necessary condition of optimality for stochastic control systems with variable structure
Agayeva, C.A.; Abushov, Q.U. (VILNIUS GEDIMINAS TECHNICAL UNIV PRESS, TECHNIKA, 2008)It is considered control system with variable structure described stochastic differential equations. A maximum principle for some non-linear stochastic control system is proved. -
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
Aghayeva, C.; Abushov, Q.U. (SPRINGER, 2013)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 ...
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