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

Ben Goldys, Wei Wu*

*Corresponding author for this work

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We extend the proof of the dynamic programming principle (DPP) for standard stochastic optimal control problems driven by general Lévy noise. Under appropriate assumptions, it is shown that the DPP still holds when the state process fails to have any moments at all.

Original languageEnglish
Pages (from-to)1083-1093
Number of pages11
JournalStochastic Analysis and Applications
Volume34
Issue number6
DOIs
Publication statusPublished - 1 Nov 2016
Externally publishedYes

Keywords

  • Dynamic programming
  • Lévy noise
  • stochastic control

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