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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.
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.
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