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

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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