Sufficient stochastic maximum principle in a regime-switching diffusion model

Details Sufficient stochastic maximum principle in a regime-switching diffusion model Sufficient stochastic maximum principle in a regime-switching diffusion model

2010-07-20

arxiv.org/abs/1007.3412v3

Mathematics

Optimization and Control

Scientific paper

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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