Abstract
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 language | English |
|---|---|
| Pages (from-to) | 1-15 |
| Number of pages | 15 |
| Journal | Applied Mathematics and Optimization |
| DOIs | |
| Publication status | Published - 2011 |
Keywords
- Mean-variance portfolio selection
- Optimal control
- Regime-switching
- Sufficient maximum principle