Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models

作者：Li Yusong; Zheng Harry^*

来源：Applied Mathematics and Optimization, 2015, 71(1): 39-77.

DOI：10.1007/s00245-014-9252-6

• Regime switching stochastic optimal control
• Weak stochastic maximum principle
• Necessary and sufficient conditions
• Clarke's generalized gradient
• Clarke's normal cone
• Measurable selection

In this paper we prove a weak necessary and sufficient maximum principle for Markovian regime switching stochastic optimal control problems. Instead of insisting on the maximum condition of the Hamiltonian, we show that belongs to the sum of Clarke's generalized gradient of the Hamiltonian and Clarke's normal cone of the control constraint set at the optimal control. Under a joint concavity condition on the Hamiltonian and a convexity condition on the terminal objective function, the necessary condition becomes sufficient. We give four examples to demonstrate the weak stochastic maximum principle.

• 出版日期2015-2