Work

Necessary Condition for Optimal Control of Uncertain Stochastic Systems

Year: 2025

Type: article

Abstract: This paper examines an uncertain stochastic maximum principle, aiming to establish a necessary condition for optimality in control problems through the classical variational approach. By integrating Liu’s uncertainty theory with conventional stochastic optimal control theory, the study addresses a hybrid optimal control problem that merges elements from both frameworks. The analysis operates under the assumption that the associated adjoint equation, specifically the uncertain backward stochastic differential equation (UBSDE), exists uniquely. This assumption is grounded in prior research that has rigorously established the existence and uniqueness of UBSDEs.

Source: Contemporary Mathematics

DOI: 10.37256/cm.6120255680

Authors: Clift Kudzai Hlahla, Eriyoti Chikodza

Institutions: Bindura University of Science Education, University of Botswana

Language: English

Topic: Fuzzy Systems and Optimization

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

OpenAlex ID: W4407452485

FWCI: 0.871

Cites:

Cited by: 1

Related to: 10