{"ID":2876069,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2509.01744","arxiv_id":"2509.01744","title":"A Calculus of Variations Approach to Stochastic Control","abstract":"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.","short_abstract":"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.","url_abs":"https://arxiv.org/abs/2509.01744","url_pdf":"https://arxiv.org/pdf/2509.01744v2","authors":"[\"Matthew Lorig\"]","published":"2025-09-01T19:52:32Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"q-fin.MF\"]","methods":"[]","has_code":false}