First and second order necessary optimality conditions for a continuous stochastic control problem of Rosser type
- Authors: Mastaliyev R.O.1,2
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Affiliations:
- Azerbaijan University
- Institute of Control Systems of the Ministry of Science and Education of the Republic of Azerbaijan
- Issue: Vol 27, No 3 (2025)
- Pages: 11-28
- Section: Математика и механика
- Submitted: 25.08.2025
- Published: 21.10.2025
- URL: https://bakhtiniada.ru/1991-6639/article/view/306151
- DOI: https://doi.org/10.35330/1991-6639-2025-27-3-11-28
- EDN: https://elibrary.ru/BHZCDK
- ID: 306151
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Abstract
This paper is devoted to the study of a singular, in the classical sense, case and the derivation second order necessary optimality conditions in terms of the second variation of the minimizable functional in the stochastic control problem described by first order stochastic nonlinear hyperbolic equations system written in the canonical form.
Results. For one stochastic optimal control problem described by a stochastic system of first-order nonlinear hyperbolic equations, necessary conditions of first- and second-order optimality are obtained, which are, respectively, stochastic analogs of the Euler equation and optimality conditions for the classical extremal.
Methods. In obtaining the results, theories of optimal control and calculus of variations were used, taking into account the stochastic properties of the problem under consideration. Similar control problems arise in the optimization of a number of chemical-technological processes under the influence of random effects.
About the authors
R. O. Mastaliyev
Azerbaijan University; Institute of Control Systems of the Ministry of Science and Education of the Republic of Azerbaijan
Author for correspondence.
Email: mastaliyevrashad@gmail.com
ORCID iD: 0000-0001-6387-2146
SPIN-code: 4056-5919
PhD in Mathematics, Associate Professor, Head of the Department of Mathematics and Informatics
Azerbaijan, J. Hajibeyli street, 71, Baku, Az1007; B. Vahabzade street, 68 , Baku, Az1141References
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