| Article ID: | iaor20134043 |
| Volume: | 56 |
| Issue: | 2 |
| Start Page Number: | 341 |
| End Page Number: | 352 |
| Publication Date: | Jun 2013 |
| Journal: | Journal of Global Optimization |
| Authors: | Aghayeva Charkaz, Abushov Qurban |
| Keywords: | optimal control |
The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints.