A maximum principle for a stochastic control problem with multiple random terminal times
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 ter...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2020-05-01
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| Series: | Mathematics in Engineering |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/mine.2020025/fulltext.html |