Relationship Between General MP and DPP for the Stochastic Recursive Optimal Control Problem with Jumps

被引：0

作者：

Wang, Bin ^{[1
]}

Shi, Jingtao ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2024年 / 37卷 / 06期

关键词：

Backward stochastic differential equation with jumps; dynamic programming principle; maximum principle; recursive optimal control; viscosity solution; DYNAMIC-PROGRAMMING PRINCIPLE; GLOBAL MAXIMUM PRINCIPLE; DIFFERENTIAL-EQUATIONS; VISCOSITY SOLUTIONS; CONTROL SYSTEM; OPTIMIZATION; KIND;

D O I：

10.1007/s11424-024-4236-3

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper is concerned with the relationship between general maximum principle and dynamic programming principle for the stochastic recursive optimal control problem with jumps, where the control domain is not necessarily convex. Relations among the adjoint processes, the generalized Hamiltonian function and the value function are proven, under the assumption of a smooth value function and within the framework of viscosity solutions, respectively. Some examples are given to illustrate the theoretical results.

引用

页码：2466 / 2486

页数：21

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