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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 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).

Suggested Citation

  • Seierstad, Atle, 2003. "Maximum principle for stochastic control in continuous time with hard end constraints," Memorandum 24/2002, Oslo University, Department of Economics.
    • Handle: RePEc:hhs:osloec:2002_024
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    File URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2002/Memo-24-2002.pdf
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    Keywords

    Piecewise deterministic; hard end constraints;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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