A Calculus of Variations Approach to Stochastic Control

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.

• Publication year

  2025

• Venue

  Unknown venue

• Publication date

  2025-09-01

• Fields of study

  Mathematics, Economics

• Identifiers
  arXiv 2509.01744
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Volume 2

  2019cited by this paper
• Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

  1969cited by this paper

• No citing papers are available for this paper.