|
EconStor >
University of Oslo >
Department of Economics, University of Oslo >
Memorandum, Department of Economics, University of Oslo >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/63000
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Seierstad, Atle | | en_US |
| dc.date.accessioned | | 2012-09-20T13:12:45Z | | - |
| dc.date.available | | 2012-09-20T13:12:45Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/63000 | | - |
| dc.description.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). | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dep. of Economics, Univ. of Oslo Oslo | | en_US |
| dc.relation.ispartofseries | | Memorandum, Department of Economics, University of Oslo 2002,24 | | en_US |
| dc.subject.jel | | C61 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Piecewise deterministic | | en_US |
| dc.subject.keyword | | hard end constraints | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Maximum principle for stochastic control in continuous time with hard end constraints | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 354825410 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Memorandum, Department of Economics, University of Oslo
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|