Order reprints

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

Francesco Cordoni Luca Di Persio

*Corresponding author: Luca Di Persio luca.dipersio@univr.it

MinE2020,3,557doi:10.3934/mine.2020025

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.

Please supply your name and a valid email address you yourself

Fields marked*are required

Article URL   http://www.aimspress.com/MinE/article/5083.html
Article ID   mine-02-03-025
Editorial Email  
Your Name *
Your Email *
Quantity *

Copyright © AIMS Press All Rights Reserved