Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (Q535333)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions |
scientific article |
Statements
Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (English)
0 references
11 May 2011
0 references
jump diffusions
0 references
stochastic optimal control
0 references
maximum principle
0 references
dynamic programming principle
0 references
verification theorem
0 references
viscosity solution
0 references
0 references
0 references
0 references
0 references
0 references
