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Maximum Principle for Stochastic Control in Continuous Time with Hard End Constraints

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Abstract

A maximum principle is proved for certain problems of continuous–time stochastic control with hard end constraints (end constraints satisfied a.s.). In the problems, the dynamics (the state differential equation) changes at certain stochastic points in time.

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Authors and Affiliations

  1. Department of Economics, University of Oslo, Box 1095 Blindern, 0317, Oslo, Norway

    A. Seierstad

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  1. A. Seierstad
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Correspondence to A. Seierstad.

Additional information

Communicated by F. Zirilli.

Insightful comments from two referees, used to improve the exposition, are gratefully acknowledged.

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Seierstad, A. Maximum Principle for Stochastic Control in Continuous Time with Hard End Constraints. J Optim Theory Appl 144, 335–365 (2010). https://doi.org/10.1007/s10957-009-9602-8

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  • DOI: https://doi.org/10.1007/s10957-009-9602-8

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