Browsing by Author "Aghayeva, C.A."

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    Second order necessary condition of optimality for time lag stochastic systems
    (Vilnius Gediminas Technical University, 2010) Charkaz A. Aghayeva; Aghayeva, C.A.
    A control problem for dynamical processes described by stochastic differential equations with variable delay equations is investigated in this paper. The goal of this paper to give the necessary condition of optimality for nonlinear stochastic control problem for singular controls. The second order necessary condition of optimality for the stochastic system with uncontrolled diffusion coefficient is obtained. © Izmir University of Economics Turkey 2010. © 2014 Elsevier B.V. All rights reserved.
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    Citation - Scopus: 5
    The maximum principle for some stochastic control problem of switching system
    (Vilnius Gediminas Technical University, 2010) Charkaz A. Aghayeva; Qurban U. Abushov; Aghayeva, C.A.; Abushov, Q.U.
    In this paper we discuss stochastic optimization problem for controlled switching systems. The maximum principle as the necessary condition of optimality is proved for a stochastic dynamical systems that consist of several subsystems which are described by the stochastic differential equations. © Izmir University of Economics Turkey 2010. © 2014 Elsevier B.V. All rights reserved.