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Necessary condition of optimality for stochastic control systems with variable structure
(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. -
Necessary condition of optimality for stochastic control systems with variable structure
(20th International Conference EURO Mini Conference "Continuous Optimization and Knowledge-Based Technologies", EurOPT 2008, 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 © Institute of Mathematics and Informatics, 2008. -
The maximum principle for some stochastic control problem of switching system
(24th Mini EURO Conference on Continuous Optimization and Information-Based Technologies in the Financial Sector, MEC EurOPT 2010, 2010)In this paper we discuss stochastic optimization problem for controlled switching systems. The maximum principle as the necessary condition of optimality is proved for a stochastic dynamical systems that consist of several ... -
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
(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 ... -
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
(Journal of Global Optimization, 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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