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Sufficient Epsilon-Optimality Conditions for Jump–Diffusion Systems

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Based on the extension principle, we formulate and prove the epsilon-optimality conditions for a control of nonlinear stochastic jump-diffusion systems with incomplete feedback. We estimate the accuracy of an approximate solution to the optimal control problem for deviation of the quality functional. Bibliography: 8 titles.

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References

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Authors and Affiliations

  1. Moscow Aviation Institute (National Research University), 4, Volokokamskoe Shosse, Moscow, 125993, Russia

    K. A. Rybakov

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  1. K. A. Rybakov
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Correspondence to K. A. Rybakov.

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Translated from Problemy Matematicheskogo Analiza 104, 2020, pp. 129-137.

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Rybakov, K.A. Sufficient Epsilon-Optimality Conditions for Jump–Diffusion Systems. J Math Sci 250, 144–154 (2020). https://doi.org/10.1007/s10958-020-05006-6

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  • DOI: https://doi.org/10.1007/s10958-020-05006-6

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