Optimal control of stochastic dynamic systems with past history and poison switchings

Research paper by V. S. Korolyuk, V. K. Yasinskii, S. V. Antonyuk

Indexed on: 01 Nov '04Published on: 01 Nov '04Published in: Cybernetics and Systems Analysis


An optimal control problem for systems of stochastic differential-functional linear equations with past history and Poisson switchings is formulated. The Bellman equation is solved for this problem.