A Calculus of Variations Approach to Stochastic Control
Optimization and Control
2026-05-27 v2 Mathematical Finance
Abstract
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.
Keywords
Cite
@article{arxiv.2509.01744,
title = {A Calculus of Variations Approach to Stochastic Control},
author = {Matthew Lorig},
journal= {arXiv preprint arXiv:2509.01744},
year = {2026}
}
Comments
7 pages