Adapted solution of a backward stochastic differential equation
Systems & Control Letters
Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
SIAM Journal on Control and Optimization
Exact adaptive filters for Markov chains observed in Gaussian noise
Automatica (Journal of IFAC)
The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
SIAM Journal on Control and Optimization
Optimization by Vector Space Methods
Optimization by Vector Space Methods
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
SIAM Journal on Control and Optimization
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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.