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Title:Maximum principle for stochastic control in continuous time with hard end constraints PDF Logo
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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