Browsing by Author "Abushov, Gurban"

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    Stochastic maximum principle for switching systems
    (IEEE, 2012) Charkaz A. Aghayeva; Gurban Abushov; Aghayeva, Charkaz; Abushov, Gurban
    This paper provides necessary conditions of optimality in the form of a maximum principle for optimal control problems of switching systems. Dynamics of the constituent processes take the form of stochastic differential equations with control terms in the drift and diffusion coefficients. The restrictions on the transitions or switches between operating modes are described by collections of functional equality constraints. © 2012 IEEE. © 2013 Elsevier B.V. All rights reserved.