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Memorandum, Department of Economics, University of Oslo >
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| Title: | | Maximum principle for stochastic control in continuous time with hard end constraints  |
| Authors: | | Seierstad, Atle |
| Issue Date: | | 2002 |
| Series/Report no.: | | Memorandum, Department of Economics, University of Oslo 2002,24 |
| Abstract: | | 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). |
| Subjects: | | Piecewise deterministic hard end constraints |
| JEL: | | C61 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Memorandum, Department of Economics, University of Oslo
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