caa a22 4500 445842199 CHVBK 20180317145348.0 cr unu---uuuuu 170323e20111001xx s 000 0 eng 10.1007/s00245-010-9130-9 doi (NATIONALLICENCE)springer-10.1007/s00245-010-9130-9 Donnelly Catherine Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK aut Sufficient Stochastic Maximum Principle inaRegime-Switching Diffusion Model [Elektronische Daten] [Catherine Donnelly] 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. Springer Science+Business Media, LLC, 2011 Sufficient maximum principle nationallicence Regime-switching nationallicence Optimal control nationallicence Mean-variance portfolio selection nationallicence Applied Mathematics & Optimization Springer-Verlag 64/2(2011-10-01), 155-169 0095-4616 64:2<155 2011 64 245 https://doi.org/10.1007/s00245-010-9130-9 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-010-9130-9 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Donnelly Catherine Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 64/2(2011-10-01), 155-169 0095-4616 64:2<155 2011 64 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer