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 language | English |
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Pages (from-to) | 1083-1093 |
Number of pages | 11 |
Journal | Stochastic Analysis and Applications |
Volume | 34 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Nov 2016 |
Externally published | Yes |
Keywords
- Dynamic programming
- Lévy noise
- stochastic control