Stochastic optimal control problem with delay
A stochastic optimal control problem with variable delay on phase and on control is considered. The maximum principle for a nonlinear stochastic control system with controlled diffussion coeffcient is proved.
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Date: | 2006 |
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Main Author: | |
Format: | Article |
Language: | English |
Published: |
Інститут математики НАН України
2006
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Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4436 |
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Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
Cite this: | Stochastic optimal control problem with delay / Ch.A. Agayeva // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 1-2. — С. 3–11. — Бібліогр.: 7 назв.— англ. |