Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions

DOI10.1007/s00245-010-9115-8zbMath1216.49024OpenAlexW2071533907MaRDI QIDQ535333

Jing-Tao Shi, Zhen Wu

Publication date: 11 May 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-010-9115-8

zbMATH Keywords

maximum principleviscosity solutionstochastic optimal controlverification theoremjump diffusionsdynamic programming principle

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)

Related Items (12)

Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Itô's formula for flows of measures on semimartingales ⋮ The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions ⋮ Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions ⋮ Smooth solutions to portfolio liquidation problems under price-sensitive market impact ⋮ A stochastic maximum principle for backward control systems with random default time ⋮ Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions ⋮ A stochastic maximum principle for backward control systems with random default time ⋮ Stochastic recursive optimal control problem with time delay and applications

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