Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/63000
Authors: 
Seierstad, Atle
Year of Publication: 
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

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