In the present paper we derive, via a backward induction technique, an ad hoc maximum principle for an optimal control problem with multiple random terminal times. We thus apply the aforementioned result to the case of a linear quadratic controller, providing solutions for the optimal control in terms of Riccati backward SDE with random terminal time.
A maximum principle for a stochastic control problem with multiple random terminal times / Cordoni, F.; Di Persio, L.. - In: MATHEMATICS IN ENGINEERING. - ISSN 2640-3501. - 2:3(2020), pp. 557-583. [10.3934/mine.2020025]
A maximum principle for a stochastic control problem with multiple random terminal times
Cordoni F.;Di Persio L.
2020-01-01
Abstract
In the present paper we derive, via a backward induction technique, an ad hoc maximum principle for an optimal control problem with multiple random terminal times. We thus apply the aforementioned result to the case of a linear quadratic controller, providing solutions for the optimal control in terms of Riccati backward SDE with random terminal time.File in questo prodotto:
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