A maximum principle for a stochastic control problem with multiple random terminal times

DOI10.3934/mine.2020025zbMath1487.49033arXiv1801.07216OpenAlexW3021321726MaRDI QIDQ2128538

Francesco Giuseppe Cordoni, Luca Di Persio

Publication date: 22 April 2022

Published in: Mathematics in Engineering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.07216

zbMATH Keywords

stochastic optimal controlstochastic differential systemsufficient maximum principlenecessary maximum principlelinear-quadratic controllermultiple defaults time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Stochastic maximum principle for optimal liquidation with control-dependent terminal time ⋮ A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time ⋮ Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach

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