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The maximum principle for the nonlinear stochastic optimal control problem of switching systems

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Abstract

The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints.

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Authors and Affiliations

  1. Department of Statistics, Faculty of Science and Letters, Yasar University, Selcuk Yasar Campus, University Cad. Agacli Yol. No 35-37, 35100, Bornova, Izmir, Turkey

    Charkaz Aghayeva

  2. Institute of Cybernetics, Azerbaijan National Academy of Science, F.Agayev str. 9, 1141, Baku, Azerbaijan

    Qurban Abushov

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  1. Charkaz Aghayeva
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  2. Qurban Abushov
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Correspondence to Charkaz Aghayeva.

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Aghayeva, C., Abushov, Q. The maximum principle for the nonlinear stochastic optimal control problem of switching systems. J Glob Optim 56, 341–352 (2013). https://doi.org/10.1007/s10898-011-9825-8

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