Dynamic programming principle for stochastic control problems driven by general Levy noise

被引：3

作者：

Goldys, Ben ^{[1
]}

Wu, Wei ^{[2
]}

机构：

[1] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

[2] UNSW Australia, Sch Math & Stat, Sydney, NSW 2052, Australia

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2016年 / 34卷 / 06期

关键词：

Dynamic programming; Levy noise; stochastic control;

D O I：

10.1080/07362994.2016.1207189

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We extend the proof of the dynamic programming principle (DPP) for standard stochastic optimal control problems driven by general Levy noise. Under appropriate assumptions, it is shown that the DPP still holds when the state process fails to have any moments at all.

引用

页码：1083 / 1093

页数：11

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