O PEWNYM PROBLEMIE MAYERA STEROWANIA OPTYMALNEGO W PRZYPADKU STOCHASTYCZNYM
ABOUT SOME MAYER STOCHASTIC OPTIMAL CONTROL PROBLEM

Summary/Abstract: We consider optimal control problem of system which is covered by Ito’s stochastic differential equation. Such systems are sometimes called diffusion models. The basic source of uncertainty in such models is white noise, which represents large numbers of independent random forces. The controller has to make relevant decision, based on the most update information among all the possible to achieve the best expected result relevant his goal. The key role play so called value function which represent in some sense evolution of minimal cost functional in time. In the present paper the author give some characterization of value function for the so called Mayer problem which correspond to special form of cost.

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