On existence of optimal solutions for stochastic differential equations and inclusions with current velocities |
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| Authors: | Yuri E. Gliklikh Alla V. Makarova Olga O. Zheltikova |
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| Affiliation: | 1. Faculty of Mathematics, Voronezh State University, Voronezh, Russia.yeg@math.vsu.ru;3. Faculty of Mathematics, Voronezh State University, Voronezh, Russia. |
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| Abstract: | For a stochastic differential inclusion given in terms of current velocities (symmetric mean derivatives) on flat n-dimensional torus, we prove the existence of optimal solution minimizing a certain cost criterion. Then this result is applied to the problem of optimal control for equations with current velocities. |
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| Keywords: | Mean derivatives current velocities stochastic differential inclusions optimal solution |
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