{
  "id": "1007.3412",
  "version": "v3",
  "published": "2010-07-20T13:06:53.000Z",
  "updated": "2010-12-14T12:05:06.000Z",
  "title": "Sufficient stochastic maximum principle in a regime-switching diffusion model",
  "authors": [
    "Catherine Donnelly"
  ],
  "journal": "Applied Mathematics and Optimization (2011), 64(2), pp155-169",
  "doi": "10.1007/s00245-010-9130-9",
  "categories": [
    "math.OC"
  ],
  "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.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2010-12-14T12:05:06.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "49K21"
    ],
    "keywords": [
      "sufficient stochastic maximum principle",
      "regime-switching diffusion model",
      "mean-variance portfolio selection problem",
      "quadratic loss minimization problem"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1007.3412D"
    }
  }
}