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
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