Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

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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.

Original languageEnglish
Pages (from-to)1-15
Number of pages15
JournalApplied Mathematics and Optimization
Publication statusPublished - 2011


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


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