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

作　　者：WANG Bin SHI Jingtao 

机构地区：[1]School of Mathematics,Shandong University,Jinan 250100,China

出　　处：《Journal of Systems Science & Complexity》2024年第6期2466-2486,共21页系统科学与复杂性学报（英文版）

基　　金：supported by National Key Research and Development Program of China under Grant No.2022YFA1006104;the National Natural Science Foundations of China under Grant Nos.12471419 and 12271304;the Natural Science Foundation of Shandong Province under Grant No.ZR2022JQ01。

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.

关 键 词：Backward stochastic differential equation with jumps dynamic programming principle maximum principle recursive optimal control viscosity solution 

分 类 号：O211.63[理学—概率论与数理统计] O232[理学—数学]