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arXiv · 1801.07216

A maximum principle for a stochastic control problem with multiple random terminal times

Francesco Cordoni·Luca Di Persio
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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.

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Francesco Cordoni, Luca Di Persio. 2018-01-22. A maximum principle for a stochastic control problem with multiple random terminal times. https://arxiv.org/abs/1801.07216

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