This article is cited in 2 papers

Stochastic Systems

Necessary optimality conditions for singular controls in stochastic Goursat–Darboux systems

K. B. Mansimov^ab, R. O. Mastaliev<sup>b

a</sup> Baku State University, Baku, AZ1148 Azerbaijan
^b Institute of Control Systems, Azerbaijan National Academy of Sciences, Baku, AZ1141 Azerbaijan

Abstract: We consider an optimal control problem for a stochastic system whose dynamics is described by a second-order hyperbolic stochastic partial differential equation with Goursat boundary conditions. A stochastic analog of Pontryagin's maximum principle is obtained, and singularities in the sense of the control maximum principle are analyzed for optimality.

Keywords: nonlinear stochastic Goursat–Darboux system, necessary conditions, optimality, Pontryagin's maximum principle, performance criterion increment formula, singular control.

Presented by the member of Editorial Board: A. V. Nazin

Received: 07.06.2021
Revised: 25.12.2021
Accepted: 30.12.2021

DOI: 10.31857/S0005231022040043

 English version: Automation and Remote Control, 2022, 83:4, 536–547

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