A mixed relaxed singular maximum principle for linear SDEs with random coefficients

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dc.creatorAndersson, Daniel
dc.date2008-11-30
dc.date2008-12-08
dc.date.accessioned2026-07-07T12:09:44Z
dc.date.available2026-07-07T12:09:44Z
dc.descriptionWe study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary conditions for optimality in the form of a mixed relaxed-singular maximum principle in a global form. A motivating example is given in the form of an optimal investment and consumption problem with transaction costs, where we consider a portfolio with a continuum of bonds and where the portfolio weights are modeled as measure-valued processes on the set of times to maturity.
dc.identifierhttps://arxiv.org/abs/0812.0136
dc.identifierhttp://arxiv.org/abs/0812.0136
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209726
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.subject93E20, 60H30, 60H10, 91B28
dc.titleA mixed relaxed singular maximum principle for linear SDEs with random coefficients
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