Sufficient stochastic maximum principle in a regime-switching diffusion model
Optimization and Control
2014-01-31 v3
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.
Cite
@article{arxiv.1007.3412,
title = {Sufficient stochastic maximum principle in a regime-switching diffusion model},
author = {Catherine Donnelly},
journal= {arXiv preprint arXiv:1007.3412},
year = {2014}
}