Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal control of multiple Markov switching stochastic system with
  application to portfolio decision   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.

22
The categories of this paper are: chao-dyn
6
The categories of this paper are: astro-ph
8
The categories of this paper are: hep-ex
14
The categories of this paper are: math-ph
0
The categories of this paper are: hep-ph
35
The categories of this paper are: mtrl-th
13
The categories of this paper are: quant-ph
36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
16
The categories of this paper are: stat
27
The categories of this paper are: comp-gas
1
The categories of this paper are: cs
20
The categories of this paper are: acc-phys
26
The categories of this paper are: bayes-an
23
The categories of this paper are: solv-int
9
The categories of this paper are: nlin