Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions

被引：0
作者：
Jing-Tao Shi
Zhen Wu
机构：
[1] Shandong University,School of Mathematics
来源：
Applied Mathematics & Optimization | 2011年 / 63卷
关键词：
Jump diffusions; Stochastic optimal control; Maximum principle; Dynamic programming principle; Verification theorem; Viscosity solution;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper is concerned with the stochastic optimal control problem of jump diffusions. The relationship between stochastic maximum principle and dynamic programming principle is discussed. Without involving any derivatives of the value function, relations among the adjoint processes, the generalized Hamiltonian and the value function are investigated by employing the notions of semijets evoked in defining the viscosity solutions. Stochastic verification theorem is also given to verify whether a given admissible control is optimal.
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页码：151 / 189
页数：38
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