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
Institute of Control Systems of the Ministry of Science and Education of the Republic of Azerbaijan
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