ON ONE STOCHASTIC OPTIMAL CONTROL PROBLEM WITH VARIABLE DELAY

CH. A. AGAYEVA AND J. J. ALLAHVERDIYEVA

Theory of Stochastic Processes Vol. 13 (29), no. 3, 2007, pp. 3–11

The purpose of this paper is to give necessary conditions for the optimality of nonlinear stochastic control systems with variable delay and with constraint on the right end of a trajectory. The necessary optimality conditions in the form of a stochastic analogy of the maximum principle are obtained. These conditions are contained in Theorems 1 and 2.

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