Maximum principle for stochastic control in continuous time with hard end constraints

A maximum principle is proved for certain problems of continuous time stochastic control with hard end constraints, (end constraints satis_ed a.s.) After establishing a general theorem, the results are applied to problems where the state equation (di_erential equation) changes at certain stochastic points in time, and to piecewise continuous stochastic problems (including piecewise deterministic problems).

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Year of publication:	2003-06-27
Authors:	Seierstad, Atle
Institutions:	Økonomisk institutt, Universitetet i Oslo
Subject:	Piecewise deterministic \| hard end constraints

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Extent:	application/pdf
Series:	Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Memorandum Number 24/2002 43 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005652148