A maximum principle for a stochastic control problem with multiple random terminal times
Optimization and Control
2019-12-03 v2
Abstract
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear quadratic controller, providing solutions for the optimal control in terms of Riccati backward SDE with random terminal time. Eventually all the above results are applied to a system of interconnected banks.
Cite
@article{arxiv.1801.07216,
title = {A maximum principle for a stochastic control problem with multiple random terminal times},
author = {Francesco Cordoni and Luca Di Persio},
journal= {arXiv preprint arXiv:1801.07216},
year = {2019}
}