A maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimization

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dc.creatorAndersson, Daniel
dc.creatorDjehiche, Boualem
dc.date2007-12-03
dc.date2008-02-15
dc.date.accessioned2026-07-07T09:20:41Z
dc.date.available2026-07-07T09:20:41Z
dc.descriptionWe study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and necessary conditions for optimality in the form of a relaxed maximum principle. The main motivation is an optimal bond portfolio problem in a market where there exists a continuum of bonds and the portfolio weights are modeled as measure-valued processes on the set of times to maturity.
dc.description30 pages
dc.identifierhttps://arxiv.org/abs/0712.0336
dc.identifierhttp://arxiv.org/abs/0712.0336
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/154799
dc.subjectOptimization and Control
dc.subject93E20; 60H30; 60H10; 91B28
dc.titleA maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimization
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