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

页码：155 / 169

页数：15

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