A stochastic maximum principle for a markov regime-switching jump-diffusion model and its application to finance

SIAM Journal on Control and Optimization

Volumn 50, Issue 2, 2012, Pages 964-990

  Zhang, Xin ^a   Elliott, Robert J ^b   Siu, Tak Kuen ^c  

^a NANKAI UNIVERSITY   (China)

^b UNIVERSITY OF ADELAIDE   (Australia)

^c MACQUARIE UNIVERSITY   (Australia)

Author keywords

Dynamic programming; Jump diffusion; Mean variance portfolio; Regime switching; Stochastic maximum principle

Indexed keywords

CONTINUOUS TIME; DYNAMIC PROGRAMMING PRINCIPLE; JUMP DIFFUSION MODELS; JUMP-DIFFUSION; MARKOVIAN; MEAN VARIANCE; PORTFOLIO SELECTION PROBLEMS; REGIME SWITCHING; STATE PROCESS; STOCHASTIC OPTIMAL CONTROL PROBLEM;

DYNAMIC PROGRAMMING; MAXIMUM PRINCIPLE; OPTIMAL CONTROL SYSTEMS;

STOCHASTIC SYSTEMS;

EID: 84861586721     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/110839357     Document Type: Article

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