Dynamic Programming Principle for Stochastic Control Problems driven by General L\'{e}vy Noise
Optimization and Control
2016-03-25 v1
Abstract
We extend the proof of the dynamic programming principle (DPP) for standard stochastic optimal control problems driven by general L\'{e}vy noises. Under appropriate assumptions, it is shown that the DPP still holds when the state process fails to have any moments at all.
Cite
@article{arxiv.1603.07397,
title = {Dynamic Programming Principle for Stochastic Control Problems driven by General L\'{e}vy Noise},
author = {Ben Goldys and Wei Wu},
journal= {arXiv preprint arXiv:1603.07397},
year = {2016}
}