A Calculus of Variations Approach to Stochastic Control
classification
🧮 math.OC
q-fin.MF
keywords
controlcalculusproblemstochasticvariationsapproachclassicalconditions
read the original abstract
We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton portfolio optimization problem.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.