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Optimal feedback control of stochastic McShane differential systems

Published online by Cambridge University Press:  14 July 2016

N. U. Ahmed  and
K. L. Teo
N. U. Ahmed
Affiliation:
University of Ottawa
K. L. Teo
Affiliation:
University of Ottawa
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Abstract

In this paper, the optimal control problem of system described by stochastic McShane differential equations is considered. It is shown that this problem can be reduced to an equivalent optimal control problem of distributed parameter systems of parabolic type with controls appearing in the coefficients of the differential operator. Further, to this reduced problem, necessary conditions for optimality and an existence theorem for optimal controls are given.

Keywords

OPTIMAL CONTROLSTOCHASTIC MCSHANE DIFFERENTIAL SYSTEMSDISTRIBUTED PARAMETER SYSTEMS OF PARABOLIC TYPENECESSARY CONDITIONS FOR OPTIMALITYEXISTENCE OF OPTIMAL CONTROLS
Type
Research Papers
Information
Journal of Applied Probability , Volume 11 , Issue 2 , June 1974 , pp. 302 - 309
Copyright
Copyright © Applied Probability Trust 1974 

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References

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