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Second order necessary conditions of optimality for stochastic systems with variable delay
Author:
Ch. A. Agayeva
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika, tom 83 (2010).
Journal:
Theor. Probability and Math. Statist. 83 (2011), 1-12
MSC (2010):
Primary 93E20, 49K45
Posted:
February 2, 2012
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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.
References
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Additional Information
Ch. A. Agayeva
Affiliation:
Yasar University, Izmir, Turkey, and Institute of Cybernetics, Baku, Azerbaijan
Email:
cher.agayeva@rambler.ru, agaeva.cherkez@yasar.edu.tr
DOI:
http://dx.doi.org/10.1090/S0094-9000-2012-00837-5
PII:
S 0094-9000(2012)00837-5
Keywords:
Stochastic differential equations with delay,
stochastic control problem,
necessary condition of optimality,
singular controls,
adjoint stochastic differential equations
Received by editor(s):
25/DEC/2007
Posted:
February 2, 2012
Article copyright:
© Copyright 2012 American Mathematical Society
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