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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2509.01744 |
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| _version_ | 1866913162010296320 |
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| author | Lorig, Matthew |
| author_facet | Lorig, Matthew |
| contents | We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton portfolio optimization problem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_01744 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Calculus of Variations Approach to Stochastic Control Lorig, Matthew Optimization and Control Mathematical Finance We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton portfolio optimization problem. |
| title | A Calculus of Variations Approach to Stochastic Control |
| topic | Optimization and Control Mathematical Finance |
| url | https://arxiv.org/abs/2509.01744 |