Score: 1
A Calculus of Variations Approach to Stochastic Control
Published: September 1, 2025 |
arXiv ID: 2509.01744v1
By: Matthew Lorig
BigTech Affiliations:
University of Washington
Potential Business Impact:
Helps make the best money choices for the future.
Business Areas:
Risk Management
Professional Services
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.
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Country of Origin
🇺🇸
United States
Page Count
5 pages
Category
Mathematics:
Optimization and Control