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:	2002
Authors:	Seierstad, Atle
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Stochastischer Prozess \| Theorie \| Piecewise deterministic \| hard end constraints

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Series:	Memorandum ; 2002,24
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	354825410 [GVK] hdl:10419/63000 [Handle]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284288