We present local sensitivity analysis for discrete optimal control problems with varying endpoints in the case when the customary regularity of boundary conditions can be violated. We study the behavior of the optimal solutions subject to parametric perturbations of the problem. Copyright...

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a...