K.B. Mansimov, R.O. Mastaliyev. 
Optimal control of continuous stochastic systems with functional inequality constraints

We investigate the problem of optimal control of nonlinear stochastic systems whose mathematical model is described by an ordinary Ito stochastic differential equation with functional inequality constraints on the trajectory. Analogues of the stochastic Pontryagin maximum principle, the linearized maximum condition are established. 

Keywords: Ito stochastic differential equation, Functional inequality constraints, Functional increment formula, Optimal control, Optimality condition, Admissible control
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