Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

By Catherine Donnelly. 2010

56 citations recorded by the source corpus.

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.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3d3fa851341fc6453f5727cf45433852a60781e9