R.O. Mastaliyev
A Krotov-type sufficient optimality condition for stochastic control systems

A Bolza problem described by the nonlinear stochastic Ito differential equation is posed and investigated, and a Krotov-type sufficient optimality condition is established. At the end, it is proved that the Pontryagin maximum principle, which is the most universal necessary condition for optimality, is not only a necessary but also a sufficient optimality condition.

Keywords: Stochastic system, Ito equation, Bolza stochastic problem, Optimal control, Sufficient condition of the Krotov type