| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6422643 | Journal of Computational and Applied Mathematics | 2014 | 6 Pages |
Abstract
The contribution of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality for a broad class of switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on the transitions for the system are described through functional equality constraints on the end of each subsystem.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Qurban Abushov, Charkaz Aghayeva,