Sufficient stochastic maximum principle in a regime-switching diffusion model (1007.3412v3)

Published 20 Jul 2010 in 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.

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Authors (1)

Catherine Donnelly

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