论文标题
对多个马尔可夫交换随机系统的最佳控制，并应用于投资组合决策
Optimal control of multiple Markov switching stochastic system with application to portfolio decision
论文作者
论文摘要
在本文中，我们为具有双重或多个马尔可夫开关扩散过程的混合随机系统设置了一个最佳控制框架，而管理这些开关扩散的马尔可夫链并不与现有文献相同。作为该模型的应用和说明，我们为面临政权转换的金融和劳动力市场的投资者解决了投资组合选择问题。在连续的时间上下文中，我们将两个单独的马尔可夫链组合到一个合成马尔可夫链中，并得出其相应的发电机矩阵，然后用新合成的马尔可夫开关扩散来陈述HJB方程，以实现最佳控制问题。此外，我们在某些合理的规格下得出了明确的解决方案和价值功能。
In this paper we set up an optimal control framework for a hybrid stochastic system with dual or multiple Markov switching diffusion processes, while Markov chains governing these switching diffusions are not identical as assumed by the existing literature. As an application and illustration of this model, we solve a portfolio choice problem for an investor facing financial and labor markets that are both regime switching. In continuous time context we combine two separate Markov chains into one synthetic Markov chain and derive its corresponding generator matrix, then state the HJB equations for the optimal control problem with the newly synthesized Markov switching diffusion. Furthermore, we derive explicit solutions and value functions under some reasonable specifications.
