Optimal control of a linear system with multiplicative noise at control parameter

Abstract

We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a given set in the phase space is considered. Necessary conditions of optimality (of the Pontryagin maximum principle form) and existence theorems are developed. The initial control problem was trasformed to an auxiliary deterministic problem, the differentiability of the auxiliary functional was discussed.