Stochastic optimal control problem for switching systems with constraints

DOI10.1002/OCA.2277zbMath1417.93332OpenAlexW2529476624MaRDI QIDQ5364312

Charkaz Aghayeva

Publication date: 4 October 2017

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2277

zbMATH Keywords

maximum principlestochastic differential equationsoptimal control problemswitching systemswitching lawstochastic control systems

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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