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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Seierstad, Atle | en |
dc.date.accessioned | 2012-09-20T13:12:45Z | - |
dc.date.available | 2012-09-20T13:12:45Z | - |
dc.date.issued | 2002 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Oslo, Department of Economics |cOslo | en |
dc.relation.ispartofseries | |aMemorandum |x2002,24 | en |
dc.subject.jel | C61 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Piecewise deterministic | en |
dc.subject.keyword | hard end constraints | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Theorie | en |
dc.title | Maximum principle for stochastic control in continuous time with hard end constraints | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 354825410 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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