Abstract
A minimum principle is obtained for discrete-time stochastic systems described by the stochastic difference equation x_{k+1} = A_{k}x_{k} + \phi_{k}(u_{k})+w_{k} where \{w_{k}, k = 0, ... ,N - \} is la sequence of independent random vector variables. The control action u k is constrained to belong to a compact set U k , and the set \phi_{k}(U_{k}), k = 0,..., N - 1 is convex. The system is open-loop.
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