Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 24/2002: Maximum principle for stochastic control in continuous time with hard end constraints

Atle Seierstad ()
Additional contact information
Atle Seierstad: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

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).

Keywords: Piecewise deterministic; hard end constraints

JEL-codes: C61

43 pages, June 27, 2003

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