Second order necessary condition of optimality for time lag stochastic systems
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Date
2010
Authors
Charkaz A. Aghayeva
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Publisher
Vilnius Gediminas Technical University
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Abstract
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.
Description
Keywords
Adjoint Stochastic Differential Equations, Maximum Principle, Singular Controls, Stochastic Control Problem, Stochastic Differential Equations With Variable Delay, Differential Equations, Diffusion, Maximum Principle, Optimization, Control Problems, Dynamical Process, Optimality, Second Orders, Singular Control, Stochastic Control, Stochastic Differential Equations, Variable Delays, Stochastic Control Systems, Differential equations, Diffusion, Maximum principle, Optimization, Control problems, Dynamical process, Optimality, Second orders, Singular control, Stochastic control, Stochastic differential equations, Variable delays, Stochastic control systems, Stochastic Differential Equations with Variable Delay, Adjoint Stochastic Differential Equations, Maximum Principle, Singular Controls, Stochastic Control Problem
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Source
24th Mini EURO Conference on Continuous Optimization and Information-Based Technologies in the Financial Sector MEC EurOPT 2010
Volume
Issue
Start Page
94
End Page
99
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