IDEAS home Printed from https://ideas.repec.org/p/arx/papers/0812.0136.html
   My bibliography  Save this paper

A mixed relaxed singular maximum principle for linear SDEs with random coefficients

Author

Listed:
  • Daniel Andersson

Abstract

We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary conditions for optimality in the form of a mixed relaxed-singular maximum principle in a global form. A motivating example is given in the form of an optimal investment and consumption problem with transaction costs, where we consider a portfolio with a continuum of bonds and where the portfolio weights are modeled as measure-valued processes on the set of times to maturity.

Suggested Citation

  • Daniel Andersson, 2008. "A mixed relaxed singular maximum principle for linear SDEs with random coefficients," Papers 0812.0136, arXiv.org, revised Dec 2008.
    • Handle: RePEc:arx:papers:0812.0136
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/0812.0136
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Seïd Bahlali & Brahim Mezerdi & Boualem Djehiche, 2006. "Approximation and optimality necessary conditions in relaxed stochastic control problems," International Journal of Stochastic Analysis, Hindawi, vol. 2006, pages 1-23, June.
    2. Daniel Andersson & Boualem Djehiche, 2010. "A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(2), pages 273-310, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Daniel Andersson & Boualem Djehiche, 2010. "A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(2), pages 273-310, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0812.0136. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.