Dynamic programming principle for stochastic control problems driven by general Lévy noise
نویسندگان
چکیده
منابع مشابه
Dynamic Programming Principle for Stochastic Control Problems driven by General Lévy Noise
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.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2016
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2016.1207189