Maximum Principle for Stochastic Control in Continuous Time with Hard End Constraints

A. Seierstad ()
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A. Seierstad: University of Oslo

Journal of Optimization Theory and Applications, 2010, vol. 144, issue 2, No 8, 335-365

Abstract: Abstract A maximum principle is proved for certain problems of continuous–time stochastic control with hard end constraints (end constraints satisfied a.s.). In the problems, the dynamics (the state differential equation) changes at certain stochastic points in time.

Keywords: Stochastic maximum principle; Hard end constraints (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10957-009-9602-8

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