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Stochastic Analysis and Applications Volume 24, 2006 - Issue 5
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Original Articles

Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales

Nils Chr. Framstad Department of Mathematics, University of Oslo, Oslo, NorwayCorrespondence[email protected]
Pages 929-938 | Received 04 Nov 2005, Accepted 05 Apr 2006, Published online: 22 Sep 2006
 
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Abstract

This article shows a version of Arrow's generalization of Manga-sarian's sufficient conditions valid for controlled stochastic differential equations driven by semimartingales. The infinite horizon case is covered. An example is given.

Mathematics Subject Classification (2000):

JEL Classification:

ACKNOWLEDGMENT

The author gratefully acknowledges financial support from the Research Council of Norway and the hospitality of the University of Kansas where part of the work was carried out. A version of this article appeared in the author's doctoral dissertation, University of Oslo, 2002.

Notes

The author is currently with the Financial Supervisory Authority of Norway (Kredittilsynet), Oslo, Norway. This article in no way reflects the views of Kredittilsynet.

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