Ekeland and Scheinkman (1986) prove the necessity of a standard transversality condition under certain technical conditions. Their result is one of the most powerful on the necessity of a transversality condition currently available in the literature, and their proof involves numerous...

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...