The maximum principle for the nonlinear stochastic optimal control problem of switching systems

作者：Aghayeva Charkaz^*; Abushov Qurban

来源：Journal of Global Optimization, 2013, 56(2): 341-352.

DOI：10.1007/s10898-011-9825-8

• Switching system
• Nonlinear stochastic differential equations
• Stochastic optimal control problem
• Maximum principle
• Admissible controls
• Adjoint stochastic differential equations
• Switching law

The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints.

• 出版日期2013-6