SECOND ORDER NECESSARY CONDITIONS OF OPTIMALITY FOR STOCHASTIC SYSTEMS WITH VARIABLE DELAY
Loading...
Date
2010
Authors
Ch. A. Agayeva
Journal Title
Journal ISSN
Volume Title
Publisher
AMER MATHEMATICAL SOC
Open Access Color
OpenAIRE Downloads
OpenAIRE Views
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.
Description
Keywords
Stochastic differential equations with delay, stochastic control problem, necessary condition of optimality, singular controls, adjoint stochastic differential equations
Fields of Science
Citation
WoS Q
Scopus Q
Source
Volume
Issue
Start Page
End Page
Collections
