Stochastic maximum principle for nonlinear optimal control problem of switching systems

摘要

The contribution of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality for a broad class of switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on the transitions for the system are described through functional equality constraints on the end of each subsystem.