Dynamic Programming Principle for Stochastic Control Problems driven by General Lévy Noise

Ben Goldys and Wei Wu

Abstract

We extend the proof of the dynamic programming principle (DPP) for standard stochastic optimal control problems driven by general Lévy noise. Under appropriate assumptions, it is shown that the DPP still holds when the state process fails to have any moments at all.

Keywords: Dynamic programming, Lévy noise, Stochastic control.

AMS Subject Classification: Primary 49L20; secondary 60H10, 93E20.