R.O. Mastaliyev, K.B. Mansimov
Necessary optimality conditions of stochastic systems with functional constraints of the inequality type


The paper is devoted to deriving the necessary optimality conditions in the control problem for nonlinear stochastic systems of a random structure, in the presence of functional constraints of the inequality type on the phase trajectory. A stochastic analog of the Pontryagin maximum principle is formulated and singular controls are investigated.

Keywords: Stochastic control problem, Inequalities constraints, Optimal control, Analog of the maximum principle, Singular controls
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