Mathematics in Engineering (May 2020)
A maximum principle for a stochastic control problem with multiple random terminal times
Abstract
In the present paper we derive, via a backward induction technique, an ad hoc maximum principle for an optimal control problem with multiple random terminal times. We thus 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.
Keywords