Abstract:
The optimal control problem is considered, the mathematical models
of which are defined by non-linear stochastic Ito differential equations with a
delay argument and diffuse components that allow one to take into account
random disturbances of a continuous nature acting on the system.
A linearized necessary optimality condition is obtained under the assumption
that the domain admissible control is convex. The quasi-singular case is
investigated. The general necessary optimality conditions for quasi-singular
controls are described. Partial cases are considered.
Key words and phrases:stochastic control theory, Ito equations, singular controls.
Fulltext:
PDF file (910 kB)