Time-Optimal Control for Semilinear Stochastic Functional Differential Equations with Delays

Abstract

The purpose of this paper is to find the time-optimal control to a target set for semilinear stochastic functional differential equations involving time delays or memories under general conditions on a target set and nonlinear terms even though the equations contain unbounded principal operators. Our research approach is to construct a fundamental solution for corresponding linear systems and establish variations of a constant formula of solutions for given stochastic equations. The existence result of time-optimal controls for one point target set governed by the given semilinear stochastic equation is also established.

Keywords

• stochastic differential equation
• retarded control system
• time-optimal control
• admissible set
• analytic semigroup