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The local necessary condition for a type of stochastic optimal control problem and its application to a portfolio choice problem

LI Zhi-tao1,WANG Gang-chen2 and MU Chao3   

  1. 1. School of Petroleum Engineering, China University of Petroleum, Dongying 257061;2. School of Math. and System Sci., Shandong Univ., Jinan 250100;3. Network and Education Technology Center, China University of Petroleum, Dongying 257061
  • Received:2006-10-24 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: LI Zhi-tao

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Abstract: A type of stochastic optional control problem a rising from an optional is studied. Based on the classical cinvex variational technique, the local necessary condition is given. the portfolio problem is discussed based on the combination of the necessary condition with a direct construction method.

Key words: local necessary condition , optimal control, portfolio choice

CLC Number: 

  • O211.63
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