Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

Catherine Donnelly

doi:10.1007/s00245-010-9130-9

Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

Catherine Donnelly

Research output: Contribution to journal › Article › peer-review

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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	https://doi.org/10.1007/s00245-010-9130-9
Publication status	Published - 2011

Keywords

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

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10.1007/s00245-010-9130-9

Sufficient stochastic maximum principle in a regime-switching diffusion modelSubmitted manuscript, 331 KB

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KW - Optimal control

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KW - Sufficient maximum principle

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Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

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Keywords

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