Dynamic Programming and a Verification Theorem for the Recursive Stochastic Control Problem of Jump-Diffusion Models With Random Coefficients

DOI10.1109/TAC.2021.3131097OpenAlexW3216053069MaRDI QIDQ6053156

Tamer Başar, Jun-Hee Moon

Publication date: 26 September 2023

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2021.3131097

zbMATH Keywords

random coefficientsverification theoremforward and backward stochastic differential equations (BSDE) with jump diffusionsintegro-type stochastic PDE

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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