Second order necessary conditions of optimality for stochastic systems with variable delay
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Date
2011
Authors
Ch A. Agayeva
Journal Title
Journal ISSN
Volume Title
Publisher
Amer Mathematical Soc
Open Access Color
BRONZE
Green Open Access
Yes
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Publicly Funded
No
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Average
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Abstract
The purpose of this paper is to give necessary conditions of optimality of nonlinear stochastic control systems with variable delay for singular controls. As a result the second order necessary optimality condition for the stochastic system with uncontrolled diffusion coefficient is obtained. © 2012 American Mathematical Society. © 2012 Elsevier B.V. All rights reserved.
Description
ORCID
Keywords
Adjoint Stochastic Differential Equations, Necessary Condition Of Optimality, Singular Controls, Stochastic Control Problem, Stochastic Differential Equations With Delay, Adjoint Stochastic Differential Equations, Necessary Condition of Optimality, Singular Controls, Stochastic Differential Equations with Delay, Stochastic Control Problem, necessary condition of optimality, stochastic differential equations with delay, Optimal stochastic control, Optimality conditions for problems involving randomness, stochastic control problem, singular controls, adjoint stochastic differential equations
Fields of Science
0209 industrial biotechnology, 02 engineering and technology, 0101 mathematics, 01 natural sciences
Citation
WoS Q
Scopus Q
OpenCitations Citation Count
3
Source
Theory of Probability and Mathematical Statistics
Volume
83
Issue
Start Page
1
End Page
12
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Citations
CrossRef : 2
Scopus : 6
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