Necessary optimality conditions of the second oder in a stochastic optimal control problem with delay argument

Necessary optimality conditions of the second oder in a stochastic optimal control problem with delay argument

The optimal control problem of nonlinear stochastic systems which mathematical model is given by Ito stochastic differential equation with delay argument is considered. Assuming that the concerned region is open for the control by the first and the second variation (classical sense) of the quality f...

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Bibliographic Details
Main Author: Rashad O. Mastaliev
Format: Article
Language:English
Published: Samara State Technical University 2016-12-01
Series:Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki
Subjects:
stochastic control problem
admissible control
optimal control
first and second order variation of quality functional
a necessary condition for the stochastic analogue of the Euler equations
stochastic analog of the Legendre–Clebsch
singular control the classic sense
Online Access:http://mi.mathnet.ru/eng/vsgtu1506

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http://mi.mathnet.ru/eng/vsgtu1506

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