Browsing by Author "Abushov, Qurban"

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    The maximum principle for the nonlinear stochastic optimal control problem of switching systems
    (Springer, 2013) Charkaz A. Aghayeva; Qurban U. Abushov; Aghayeva, Charkaz; Abushov, Qurban
    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. © 2011 Springer Science+Business Media LLC. © 2013 Elsevier B.V. All rights reserved.