Differential Equations and Mathematical Physics

Necessary optimality conditions of the second oder in a stochastic optimal control problem with delay argument

R. O. Mastaliev

Institute of Control Systems, Azerbaijan National Academy of Sciences, Baku, AZ1141, Azerbaijan

Abstract: The optimal control problem of nonlinear stochastic systems which mathematical model is given by Ito stochastic differential equation with delay argument is considered. Assuming that the concerned region is open for the control by the first and the second variation (classical sense) of the quality functional we obtain the necessary optimality condition of the first and the second order. In the particular case we receive the stochastic analog of the Legendre—Clebsch condition and some constructively verified conclusions from the second order necessary condition. We investigate theLegendre–Clebsch conditions for the degeneration case and obtain the necessary conditions of optimality for a special control, in the classical sense.

Keywords: stochastic control problem, admissible control, optimal control, first and second order variation of quality functional, a necessary condition for the stochastic analogue of the Euler equations, stochastic analog of the Legendre–Clebsch, singular control the classic sense.

UDC: 519.21:517.977

MSC: 93E20, 49K20, 49K45

Original article submitted 25/VIII/2016
revision submitted – 08/XI/2016

DOI: 10.14498/vsgtu1506

Bibliographic databases:

• 
• 
• 
• 
•