Stochastic Optimal Control Problem for Switching Systems with Controlled Diffusion Coefficients

Aghayeva C., Abushov Q.

World Congress on Engineering (WCE 2013), London, Canada, 3 - 05 July 2013, pp.202-204 identifier identifier

  • Publication Type: Conference Paper / Full Text
  • City: London
  • Country: Canada
  • Page Numbers: pp.202-204
  • Keywords: stochastic differential equations, stochastic control systems, optimal control problem, maximum principle, switching system, switching law
  • Anadolu University Affiliated: Yes


This paper provides necessary conditions of optimality, in the form of a maximum principle, for optimal control problems of switching systems. Dynamics of the constituent processes take the form of stochastic differential equations with control terms in the drift and diffusion coefficients. The restrictions on the transitions or switches between operating modes, are described by collections of functional equality constraints