摘要翻译：
研究了一类二维随机微分方程的奇异随机控制，其中第一分量是线性的，具有随机无界系数。我们导出了最优松弛控制的存在性和全局松弛-奇异混合极大值原理形式的最优性的必要条件。给出了一个具有交易费用的最优投资和消费问题的激励例子，其中我们考虑了一个具有连续债券的投资组合，其中投资组合的权重被建模为在到期时间集合上的测度值过程。
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英文标题：
《A mixed relaxed singular maximum principle for linear SDEs with random
  coefficients》
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作者：
Daniel Andersson
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最新提交年份：
2008
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary conditions for optimality in the form of a mixed relaxed-singular maximum principle in a global form. A motivating example is given in the form of an optimal investment and consumption problem with transaction costs, where we consider a portfolio with a continuum of bonds and where the portfolio weights are modeled as measure-valued processes on the set of times to maturity.
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PDF链接：
https://arxiv.org/pdf/0812.0136