Geodesic
On one stochastic optimal control
Teoriâ slučajnyh processov, Tome 13 (2007) no. 3, pp. 3-11.

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The purpose of this paper is to give necessary conditions for the optimality of non- linear 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.
Keywords: Stochastic differential equations, variable delay, stochastic optimal control problem, necessary conditions of optimality, admissible controls. 
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Ch. A. Agayeva; J. J. Allahverdiyeva. On one stochastic optimal control. Teoriâ slučajnyh processov, Tome 13 (2007) no. 3, pp. 3-11. http://geodesic.mathdoc.fr/item/THSP_2007_13_3_a0/

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