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On one stochastic optimal control
problem with variable delay
Ch. A. Agayevaa, J. J. Allahverdiyeva a Baku State University, Institute of Cybernetics, Baku, Azerbaijan,
Yasar University, Izmir, Turkey
Аннотация:
The purpose of this paper is to give necessary conditions for the optimality of non-
linear stochastic control systems with variable delay and with constraint on the right
end of a trajectory. The necessary optimality conditions in the form of a stochastic
analogy of the maximum principle are obtained. These conditions are contained in
Theorems 1 and 2.
Ключевые слова:
Stochastic differential equations, variable delay, stochastic optimal control
problem, necessary conditions of optimality, admissible controls.
Образец цитирования:
Ch. A. Agayeva, J. J. Allahverdiyeva, “On one stochastic optimal control
problem with variable delay”, Theory Stoch. Process., 13(29):3 (2007), 3–11
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp223 https://www.mathnet.ru/rus/thsp/v13/i3/p3
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Страница аннотации: | 74 | PDF полного текста: | 35 | Список литературы: | 21 |
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