Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice

DOI10.1023/A:1022636332265zbMath0915.90033OpenAlexW278441094MaRDI QIDQ1273920

K. Appert

Publication date: 30 March 1999

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022636332265

zbMATH Keywords

stochastic optimal controlvariational methodsstochastic maximum principlefinancial marketPontryagin local maximum principleportfolio and consumption choice

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites Work

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• Backward stochastic differential equations and applications to optimal control
• The optimal control of diffusions
• A General Stochastic Maximum Principle for Optimal Control Problems
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems