Maximum principle for delayed stochastic switching system with constraints
Özet
This paper is devoted to the stochastic optimal control problem of switching systems with constraints. Dynamic of the system is described by the collection of delayed stochastic differential equations which initial conditions depend on its previous state. The restriction on the system is defined by the functional constraints on the end of each interval. Maximum principle for stochastic control problems of delayed switching system is established. Afterwards, using Ekeland’s Variational Principle the necessary condition of optimality for optimal control problem with constraints is obtained
