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Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
Author(s) -
Shi Jingtao
Publication year - 2012
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.2055
Subject(s) - maximum principle , bellman equation , optimal control , mathematics , dynamic programming , jump , stochastic control , hamiltonian (control theory) , mathematical optimization , jump diffusion , function (biology) , quadratic equation , physics , geometry , quantum mechanics , evolutionary biology , biology
SUMMARY This paper is concerned with the relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions. Under the assumption that the value function is smooth, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. A linear quadratic recursive utility portfolio optimization problem in the financial market is discussed to show the applications of the main result. Copyright © 2012 John Wiley & Sons, Ltd.