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arXiv:1007.3412 [math.OC]AbstractReferencesReviewsResources

Sufficient stochastic maximum principle in a regime-switching diffusion model

Catherine Donnelly

Published 2010-07-20, updated 2010-12-14Version 3

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.

Journal: Applied Mathematics and Optimization (2011), 64(2), pp155-169
Categories: math.OC
Subjects: 49K21
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