Adelaide Research & Scholarship
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https://hdl.handle.net/2440/73976
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| Type: | Journal article |
| Title: | A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance |
| Author: | Zhang, X. Elliott, R. Siu, T. |
| Citation: | SIAM Journal on Control and Optimization, 2012; 50(2):964-990 |
| Publisher: | Siam Publications |
| Issue Date: | 2012 |
| ISSN: | 0363-0129 1095-7138 |
| Statement of Responsibility: | Xin Zhang, Robert J. Elliott, and Tak Kuen Siu |
| Abstract: | This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion model. We also establish the relationship between the stochastic maximum principle and the dynamic programming principle in a Markovian case. Applications of the stochastic maximum principle to the mean-variance portfolio selection problem are discussed. |
| Keywords: | stochastic maximum principle regime switching jump-diffusion dynamic programming mean-variance portfolio selection |
| Rights: | Copyright © 2012 Society for Industrial and Applied Mathematics |
| DOI: | 10.1137/110839357 |
| Published version: | http://dx.doi.org/10.1137/110839357 |
| Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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