Aghayeva, Charkaz; Abushov, Qurban - In: Journal of Global Optimization 56 (2013) 2, pp. 341-352
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...