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A Calculus of Variations Approach to Stochastic Control

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  • Matthew Lorig

Abstract

We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton portfolio optimization problem.

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  • Matthew Lorig, 2025. "A Calculus of Variations Approach to Stochastic Control," Papers 2509.01744, arXiv.org.
    • Handle: RePEc:arx:papers:2509.01744
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    File URL: http://arxiv.org/pdf/2509.01744
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