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

DOI10.1080/07362994.2016.1207189MaRDI QIDQ2830715zbMATH OpenOpenAlexFDO

Authors B. 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

dynamic programmingLévy noisestochastic controlstochastic differential equation

Mathematics Subject Classification ID

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

Abstract: We extend the proof of the dynamic programming principle (DPP) for standard stochastic optimal control problems driven by general L'{e}vy noises. Under appropriate assumptions, it is shown that the DPP still holds when the state process fails to have any moments at all.

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Cites work

• Dynamic programming for a Markov-switching jump-diffusion
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• 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

Cited in

(9)

• On a class of singular stochastic control problems driven by Lévy noise
• Generalized dynamic programming principle and sparse mean-field control problems
• Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
• Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems
• Stochastic Dynamic Programming and Control of Markov Processes
• Discrete control of nonlinear stochastic systems driven by Lévy process
• Stability analysis of neutral stochastic differential delay equations driven by Lévy noises
• A stochastic maximum principle for relaxed control with general risk measure and its application in finance
• Dam management in the era of climate change

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