Far Eastern Mathematical Journal

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First order necessary optimal conditions in Gursat-Darboux stochastic systems

Mastaliyev R.O.

2021, issue 1, P. 89–104 DOI: https://doi.org/10.47910/FEMJ202108

Abstract

For optimal control problems, described by the Gursat-Darboux stochastic system, a number of first-order necessary optimality conditions are formulated and proved, which are the stochastic analogue - the Pontryagin maximum principle, the linearized maximum principle and the Euler equation.

Keywords: nonlinear Gursat-Darboux stochastic system, optimal control, necessary optimality conditions, analogue of the Euler equation

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References

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