Dynamic Programming Principle for Stochastic Control Problems driven by General L\'{e}vy Noise
classification
🧮 math.OC
keywords
controldrivendynamicgeneralprincipleproblemsprogrammingstochastic
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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.
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