A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
2010 (English)In: Mathematical Methods of Operations Research, ISSN 1432-2994, E-ISSN 1432-5217, Vol. 72, no 2, 273-310 p.Article in journal (Refereed) Published
We 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.
Place, publisher, year, edition, pages
2010. Vol. 72, no 2, 273-310 p.
Optimization and Control, Stochastic control, Relaxed control, Maximum principle, H-function, Bond portfolio
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-8006DOI: 10.1007/s00186-010-0320-7ISI: 000283255600005ScopusID: 2-s2.0-78049527381OAI: oai:DiVA.org:kth-8006DiVA: diva2:13211
Ändrat från submitted till published 201101292008-02-202008-02-202011-01-29Bibliographically approved