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

Ben Goldys; Wei Wu

doi:10.1080/07362994.2016.1207189

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 journal › Article › peer-review

5 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 language	English
Pages (from-to)	1083-1093
Number of pages	11
Journal	Stochastic Analysis and Applications
Volume	34
Issue number	6
DOIs	https://doi.org/10.1080/07362994.2016.1207189
Publication status	Published - 1 Nov 2016
Externally published	Yes

Keywords

Dynamic programming
Lévy noise
stochastic control

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10.1080/07362994.2016.1207189

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title = "Dynamic programming principle for stochastic control problems driven by general L{\'e}vy noise",

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

keywords = "Dynamic programming, L{\'e}vy noise, stochastic control",

author = "Ben Goldys and Wei Wu",

year = "2016",

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doi = "10.1080/07362994.2016.1207189",

language = "English",

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T1 - Dynamic programming principle for stochastic control problems driven by general Lévy noise

AU - Goldys, Ben

AU - Wu, Wei

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N2 - 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.

AB - 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.

KW - Dynamic programming

KW - Lévy noise

KW - stochastic control

UR - https://www.scopus.com/pages/publications/84985995183

U2 - 10.1080/07362994.2016.1207189

DO - 10.1080/07362994.2016.1207189

M3 - Article

AN - SCOPUS:84985995183

SN - 0736-2994

VL - 34

SP - 1083

EP - 1093

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

IS - 6

ER -

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

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Keywords

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