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

被引：78

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.

引用

页码：964 / 990

页数：27

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