Dynamic Programming and a Verification Theorem for the Recursive Stochastic Control Problem of Jump-Diffusion Models With Random Coefficients
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DOI: 10.1109/tac.2021.3131097
Abstract: In this article, we consider the stochastic optimal control problem for (forward) stochastic differential equations (SDEs) with jump diffusions and random coefficients under a recursive-type objective functional captured by a backward SDE (BSDE). Due to… read more here.
Keywords: problem; random coefficients; control; verification theorem ... See more keywords