A mixed relaxed singular maximum principle for linear SDEs with random coefficients
نویسنده
چکیده
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 relaxedsingular 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.
منابع مشابه
A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
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