Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

被引：0

作者：

Catherine Donnelly

机构：

[1] Heriot-Watt University,Department of Actuarial Mathematics and Statistics

来源：

Applied Mathematics & Optimization | 2011年 / 64卷

关键词：

Sufficient maximum principle; Regime-switching; Optimal control; Mean-variance portfolio selection;

D O I：

暂无

中图分类号：

学科分类号：

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

页码：155 / 169

页数：14

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