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JOURNAL OF INEQUALITIES AND APPLICATIONS, vol.2016, 2016 (SCI-Expanded)
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JOURNAL OF INEQUALITIES AND APPLICATIONS
Science Citation Index Expanded (SCI-EXPANDED), Scopus
stochastic linear system, conditions of optimality, switching systems, transversality conditions, MAXIMUM PRINCIPLE, EQUATIONS, JUMPS
Anadolu University Affiliated:
This paper is devoted to the optimal control problem for stochastic linear switching systems with a quadratic cost functional. A necessary and sufficient condition of optimality for mentioned linear control systems under endpoint constraints is obtained. A linear quadratic controller is simply constructed via a set of stochastic backward Riccati equations.