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
收藏
页码：155 / 169
页数：14
相关论文
共 50 条
  • [31] Stability of regime-switching stochastic differential equations
    Khasminskii, R. Z.
    [J]. PROBLEMS OF INFORMATION TRANSMISSION, 2012, 48 (03) : 259 - 270
  • [32] Stochastic impulse control with regime-switching dynamics
    Korn, Ralf
    Melnyk, Yaroslav
    Seifried, Frank Thomas
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 260 (03) : 1024 - 1042
  • [33] Stability of regime-switching stochastic differential equations
    R. Z. Khasminskii
    [J]. Problems of Information Transmission, 2012, 48 : 259 - 270
  • [34] Stochastic differential games with controlled regime-switching
    Ma, Chenglin
    Zhao, Huaizhong
    [J]. COMPUTATIONAL & APPLIED MATHEMATICS, 2024, 43 (04):
  • [35] Dynamical behavior of a stochastic SIQS model via isolation with regime-switching
    Feng Wang
    Zaiming Liu
    [J]. Journal of Applied Mathematics and Computing, 2023, 69 : 2217 - 2237
  • [36] Dynamical behavior of a stochastic SIQS model via isolation with regime-switching
    Wang, Feng
    Liu, Zaiming
    [J]. JOURNAL OF APPLIED MATHEMATICS AND COMPUTING, 2023, 69 (02) : 2217 - 2237
  • [37] Ergodicity of a Nonlinear Stochastic SIRS Epidemic Model with Regime-Switching Diffusions
    Liu, Hongxia
    Li, Juan
    Chi, Mengnan
    Liu, Jinlei
    Zhao, Wencai
    [J]. COMPLEXITY, 2020, 2020
  • [38] DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES
    Zhu, Jinxia
    [J]. ASTIN BULLETIN, 2014, 44 (02): : 459 - 494
  • [39] Asymptotic behavior of a regime-switching SIR epidemic model with degenerate diffusion
    Manli Jin
    Yuguo Lin
    Minghe Pei
    [J]. Advances in Difference Equations, 2018
  • [40] Maximum principle for optimal control problems of forward-backward regime-switching system and applications
    Tao, Ran
    Wu, Zhen
    [J]. SYSTEMS & CONTROL LETTERS, 2012, 61 (09) : 911 - 917
12345