Mathematics in Engineering, 2020, 2(3): 557-583. doi: 10.3934/mine.2020025.

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A maximum principle for a stochastic control problem with multiple random terminal times

Department of Computer Science, University of Verona, Strada le Grazie, 15, Verona, 37134, Italy

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 terms of Riccati backward SDE with random terminal time.
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Keywords stochastic optimal control; multiple defaults time; maximum principle; linear-quadratic controller

Citation: Francesco Cordoni, Luca Di Persio. A maximum principle for a stochastic control problem with multiple random terminal times. Mathematics in Engineering, 2020, 2(3): 557-583. doi: 10.3934/mine.2020025

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