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Эта публикация цитируется в 1 научной статье (всего в 1 статье)
The maximum principle for some nonlinear stochastic control system with variable structure
C. A. Agayevaa, Q. U. Abushovb a Yasar University, Izmir, Turkey
b Institute of Cybernetics, Azerbaijan
Аннотация:
Necessary conditions of optimality are derived for the stochastic control problem for a dynamical system with variable structure. The system is described by stochastic differential equations, when a control enters the drift and diffusion coefficients. The maximum principle for some non-linear stochastic control system with endpoint constraint is proved.
Ключевые слова:
Variable structure system, nonlinear stochastic differential equations, stochastic optimal control problem, maximum principle, admissible controls, adjoint stochastic differential equations, optimal control problem with constraint, Ekeland variation principle.
Образец цитирования:
C. A. Agayeva, Q. U. Abushov, “The maximum principle for some nonlinear stochastic control system with variable structure”, Theory Stoch. Process., 16(32):1 (2010), 1–11
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp54 https://www.mathnet.ru/rus/thsp/v16/i1/p1
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Страница аннотации: | 163 | PDF полного текста: | 83 | Список литературы: | 38 |
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