First order necessary optimal conditions in Gursat-Darboux stochastic systems. (Russian. English summary) Zbl 1470.93166
Summary: For optimal control problems, described by the Gursat-Darboux stochastic system, a number of first-order necessary optimality conditions are formulated and proved, which are the stochastic analogue – the Pontryagin maximum principle, the linearized maximum principle and the Euler equation.
MSC:
| 93E20 | Optimal stochastic control |
| 49K20 | Optimality conditions for problems involving partial differential equations |
Keywords:
nonlinear Gursat-Darboux stochastic system; optimal control; necessary optimality conditions; analogue of Euler equationReferences:
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