A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization

DOI10.1007/s00186-010-0320-7zbMath1214.49024arXiv0712.0336OpenAlexW2141431087MaRDI QIDQ604807

Boualem Djehiche, Daniel Andersson

Publication date: 12 November 2010

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.0336

zbMATH Keywords

maximum principlestochastic controlrelaxed controlbond portfolio\({\mathcal{H}}\)-function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Multiperiod mean-variance portfolio optimization via market cloning ⋮ Existence of optimal controls for systems of controlled forward-backward doubly SDEs ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework

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