Singular optimal control problem of stochastic switching systems
Özet
The work is concerned with singular stochastic optimal control problem of switching systems. Necessary condition of optimality is an important tool for solution of optimal control problems in general. Along singular controls the first-order necessary condition for optimal controls cannot provide enough information to find the desired optimal controls. Therefore, for singular controls further optimality tests are required. Second order necessary condition of optimality for switching systems with uncontrolled diffusions and transversality conditions are established.
