The maximum principle for some stochastic control problem of switching system
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Date
2010
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Vilnius Gediminas Technical University
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Abstract
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.
Description
Keywords
Adjoint Stochastic Differential Equations, Admissible Controls, Maximum Principle, Nonlinear Stochastic Differential Equations, Stochastic Optimal Control Problem, Switching Law, Switching System, Differential Equations, Maximum Principle, Optimal Control Systems, Optimization, Switching Systems, Admissible Control, Controlled Switching, Stochastic Control, Stochastic Differential Equations, Stochastic Dynamical System, Stochastic Optimal Control Problem, Stochastic Optimization Problems, Switching Law, Stochastic Control Systems, Differential equations, Maximum principle, Optimal control systems, Optimization, Switching systems, Admissible control, Controlled switching, Stochastic control, Stochastic differential equations, Stochastic dynamical system, Stochastic optimal control problem, Stochastic optimization problems, Switching law, Stochastic control systems, Stochastic Optimal Control Problem, Switching Law, Nonlinear Stochastic Differential Equations, Admissible Controls, Switching System, Adjoint Stochastic Differential Equations, Maximum Principle
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24th Mini EURO Conference on Continuous Optimization and Information-Based Technologies in the Financial Sector MEC EurOPT 2010
Volume
Issue
Start Page
100
End Page
105
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5
checked on Apr 10, 2026
