arXiv Open Access 2025

A Calculus of Variations Approach to Stochastic Control

Matthew Lorig

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Abstrak

We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton portfolio optimization problem.

Topik & Kata Kunci

math.OC q-fin.MF

Penulis (1)

Matthew Lorig

Format Sitasi

APA MLA BibTeX

Lorig, M. (2025). A Calculus of Variations Approach to Stochastic Control. https://arxiv.org/abs/2509.01744

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Informasi Jurnal

Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓