A STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION TO FINANCE

被引：77
|
作者：
Zhang, Xin [1 ,2 ]
Elliott, Robert J. [3 ,4 ]
Siu, Tak Kuen [5 ,6 ]
机构：
[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
[3] Univ Adelaide, Sch Math Sci, Adelaide, SA 5005, Australia
[4] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada
[5] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia
[6] Macquarie Univ, Fac Business & Econ, Ctr Financial Risk, Sydney, NSW 2109, Australia
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2012年 / 50卷 / 02期
基金：
中国国家自然科学基金; 澳大利亚研究理事会;
关键词：
stochastic maximum principle; regime switching; jump-diffusion; dynamic programming; mean-variance portfolio selection; RETURNS; CHAINS;
D O I：
10.1137/110839357
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion model. We also establish the relationship between the stochastic maximum principle and the dynamic programming principle in a Markovian case. Applications of the stochastic maximum principle to the mean-variance portfolio selection problem are discussed.
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页码：964 / 990
页数：27
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