On one stochastic optimal control problem with variable delay

• Datum: 2007
• ISSN: 0321-3900
• Hauptverfasser: Agayeva, Ch.A., Allahverdiyeva, J.J.
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Інститут математики НАН України 2007
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4501
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Zitieren: On one stochastic optimal control problem with variable delay / Ch.A. Agayeva, J.J. Allahverdiyeva // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 3. — С. 3–11. — Бібліогр.: 6 назв.— англ.

The purpose of this paper is to give necessary conditions for the optimality of nonlinear stochastic control systems with variable delay and with constraint on the right end of a trajectory. The necessary optimality conditions in the form of a stochastic analogy of the maximum principle are obtained...