Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

被引：32
|
作者：
Donnelly, Catherine [1 ,1 ]
机构：
[1] Swiss Fed Inst Technol, Zurich, Switzerland
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2011年 / 64卷 / 02期
关键词：
Sufficient maximum principle; Regime-switching; Optimal control; Mean-variance portfolio selection; VARIANCE PORTFOLIO SELECTION;
D O I：
10.1007/s00245-010-9130-9
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be used to solve a mean-variance portfolio selection problem.
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页码：155 / 169
页数：15
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