Journal of Optimization Theory and Applications

, Volume 144, Issue 2, pp 335–365 | Cite as

Maximum Principle for Stochastic Control in Continuous Time with Hard End Constraints



A maximum principle is proved for certain problems of continuous–time stochastic control with hard end constraints (end constraints satisfied a.s.). In the problems, the dynamics (the state differential equation) changes at certain stochastic points in time.


Stochastic maximum principle Hard end constraints 


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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of OsloOsloNorway

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