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

DOI10.1080/07362994.2016.1207189zbMath1350.49030arXiv1603.07397OpenAlexW2963122885MaRDI QIDQ2830715

Wei Wu, Beniamin Goldys

Publication date: 28 October 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.07397

zbMATH Keywords

stochastic differential equationdynamic programmingstochastic controlLévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Discrete control of nonlinear stochastic systems driven by Lévy process ⋮ Stochastic Dynamic Programming and Control of Markov Processes ⋮ On a class of singular stochastic control problems driven by Lévy noise

Cites Work

• Unnamed Item
• Dynamic programming for a Markov-switching jump-diffusion
• Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
• Optimal control problem associated with jump processes
• Weak Dynamic Programming Principle for Viscosity Solutions
• Lévy Processes and Stochastic Calculus

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