References$(function(){PrimeFaces.cw("TieredMenu","widget_formSmash_upper_j_idt152",{id:"formSmash:upper:j_idt152",widgetVar:"widget_formSmash_upper_j_idt152",autoDisplay:true,overlay:true,my:"left top",at:"left bottom",trigger:"formSmash:upper:referencesLink",triggerEvent:"click"});}); $(function(){PrimeFaces.cw("OverlayPanel","widget_formSmash_upper_j_idt153_j_idt156",{id:"formSmash:upper:j_idt153:j_idt156",widgetVar:"widget_formSmash_upper_j_idt153_j_idt156",target:"formSmash:upper:j_idt153:permLink",showEffect:"blind",hideEffect:"fade",my:"right top",at:"right bottom",showCloseIcon:true});});

Necessary Optimality Conditions for Two Stochastic Control ProblemsPrimeFaces.cw("AccordionPanel","widget_formSmash_some",{id:"formSmash:some",widgetVar:"widget_formSmash_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_all",{id:"formSmash:all",widgetVar:"widget_formSmash_all",multiple:true});
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PrimeFaces.cw("AccordionPanel","widget_formSmash_responsibleOrgs",{id:"formSmash:responsibleOrgs",widgetVar:"widget_formSmash_responsibleOrgs",multiple:true}); 2008 (English)Licentiate thesis, comprehensive summary (Other scientific)
##### Abstract [en]

##### Place, publisher, year, edition, pages

Stockholm: KTH , 2008. , vii p.
##### Series

Trita-MAT, ISSN 1401-2286 ; 2008-MS-01
##### National Category

Probability Theory and Statistics
##### Identifiers

URN: urn:nbn:se:kth:diva-4643ISBN: 978-91-7178-887-0OAI: oai:DiVA.org:kth-4643DiVA: diva2:13213
##### Presentation

2008-03-11, Sal E2, Lindstedtsv. 3, Stockholm, 15:15
##### Opponent

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##### Supervisors

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#####

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##### Note

QC 20101102Available from: 2008-02-20 Created: 2008-02-20 Last updated: 2010-11-02Bibliographically approved
##### List of papers

This thesis consists of two papers concerning necessary conditions in stochastic control problems. In the first paper, we study the problem of controlling a linear stochastic differential equation (SDE) where the coefficients are random and not necessarily bounded. We consider relaxed control processes, i.e. the control is defined as a process taking values in the space of probability measures on the control set. The main motivation is a bond portfolio optimization problem. The relaxed control processes are then interpreted as the portfolio weights corresponding to different maturity times of the bonds. We establish existence of an optimal control and necessary conditions for optimality in the form of a maximum principle, extended to include the family of relaxed controls.

In the second paper we consider the so-called singular control problem where the control consists of two components, one absolutely continuous and one singular. The absolutely continuous part of the control is allowed to enter both the drift and diffusion coefficient. The absolutely continuous part is relaxed in the classical way, i.e. the generator of the corresponding martingale problem is integrated with respect to a probability measure, guaranteeing the existence of an optimal control. This is shown to correspond to an SDE driven by a continuous orthogonal martingale measure. A maximum principle which describes necessary conditions for optimal relaxed singular control is derived.

1. A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization$(function(){PrimeFaces.cw("OverlayPanel","overlay13211",{id:"formSmash:j_idt503:0:j_idt507",widgetVar:"overlay13211",target:"formSmash:j_idt503:0:partsLink",showEvent:"mousedown",hideEvent:"mousedown",showEffect:"blind",hideEffect:"fade",appendToBody:true});});

2. The relaxed stochastic maximum principle in singular optimal control of diffusions with controlled diffusion coefficient$(function(){PrimeFaces.cw("OverlayPanel","overlay13212",{id:"formSmash:j_idt503:1:j_idt507",widgetVar:"overlay13212",target:"formSmash:j_idt503:1:partsLink",showEvent:"mousedown",hideEvent:"mousedown",showEffect:"blind",hideEffect:"fade",appendToBody:true});});

References$(function(){PrimeFaces.cw("TieredMenu","widget_formSmash_lower_j_idt1196",{id:"formSmash:lower:j_idt1196",widgetVar:"widget_formSmash_lower_j_idt1196",autoDisplay:true,overlay:true,my:"left top",at:"left bottom",trigger:"formSmash:lower:referencesLink",triggerEvent:"click"});}); $(function(){PrimeFaces.cw("OverlayPanel","widget_formSmash_lower_j_idt1197_j_idt1199",{id:"formSmash:lower:j_idt1197:j_idt1199",widgetVar:"widget_formSmash_lower_j_idt1197_j_idt1199",target:"formSmash:lower:j_idt1197:permLink",showEffect:"blind",hideEffect:"fade",my:"right top",at:"right bottom",showCloseIcon:true});});