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arXiv · 2403.09044

Relationship between General MP and DPP for the Stochastic Recursive Optimal Control Problem With Jumps: Viscosity Solution Framework

Bin Wang·Jingtao Shi
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Abstract

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 proved, 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.

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Bin Wang, Jingtao Shi. 2024-03-14. Relationship between General MP and DPP for the Stochastic Recursive Optimal Control Problem With Jumps: Viscosity Solution Framework. https://arxiv.org/abs/2403.09044

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