Sufficient stochastic maximum principle in a regime-switching diffusion model
arXiv:1007.3412 · doi:10.1007/s00245-010-9130-9
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.