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.
引用
收藏
页码：155 / 169
页数：15
相关论文
共 50 条
  • [41] Maximum principle for optimal control problems of forward-backward regime-switching system and applications
    Tao, Ran
    Wu, Zhen
    SYSTEMS & CONTROL LETTERS, 2012, 61 (09) : 911 - 917
  • [42] A reflected diffusion process in a regime-switching environment
    Jang, Bong-Gyu
    Shim, Gyoocheol
    OPERATIONS RESEARCH LETTERS, 2008, 36 (02) : 177 - 183
  • [43] Strong ergodicity of the regime-switching diffusion processes
    Shao, Jinghai
    Xi, Fubao
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 123 (11) : 3903 - 3918
  • [44] Maximum Principle for Optimal Control Problems of Backward Regime-Switching Systems Involving Impulse Controls
    Wang Shujun
    Wu Zhen
    2014 33RD CHINESE CONTROL CONFERENCE (CCC), 2014, : 9027 - 9032
  • [45] A Limit Theorem for Regime-Switching Diffusion Processes
    Smorodina N.V.
    Faddeev M.M.
    Journal of Mathematical Sciences, 2022, 268 (5) : 704 - 710
  • [46] On subgeometric ergodicity of regime-switching diffusion processes
    Lazic, Petra
    Sandric, Nikola
    NONLINEAR ANALYSIS-HYBRID SYSTEMS, 2022, 46
  • [47] STABILITY AND RECURRENCE OF REGIME-SWITCHING DIFFUSION PROCESSES
    Shao, Jinghai
    Xi, Fubao
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2014, 52 (06) : 3496 - 3516
  • [48] Asymptotic behavior of a regime-switching SIR epidemic model with degenerate diffusion
    Jin, Manli
    Lin, Yuguo
    Pei, Minghe
    ADVANCES IN DIFFERENCE EQUATIONS, 2018,
  • [49] OPTIMAL SELLING RULES IN A REGIME-SWITCHING EXPONENTIAL GAUSSIAN DIFFUSION MODEL
    Eloe, P.
    Liu, R. H.
    Yatsuki, M.
    Yin, G.
    Zhang, Q.
    SIAM JOURNAL ON APPLIED MATHEMATICS, 2008, 69 (03) : 810 - 829
  • [50] Stability of regime-switching jump diffusion processes
    Ji, Huijie
    Shao, Jinghai
    Xi, Fubao
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2020, 484 (01)
12345