caa a22 4500 445842369 CHVBK 20180317145348.0 cr unu---uuuuu 170323e20110401xx s 000 0 eng 10.1007/s00245-010-9115-8 doi (NATIONALLICENCE)springer-10.1007/s00245-010-9115-8 Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions [Elektronische Daten] [Jing-Tao Shi, Zhen Wu] This paper is concerned with the stochastic optimal control problem of jump diffusions. The relationship between stochastic maximum principle and dynamic programming principle is discussed. Without involving any derivatives of the value function, relations among the adjoint processes, the generalized Hamiltonian and the value function are investigated by employing the notions of semijets evoked in defining the viscosity solutions. Stochastic verification theorem is also given to verify whether a given admissible control is optimal. Springer Science+Business Media, LLC, 2010 Jump diffusions nationallicence Stochastic optimal control nationallicence Maximum principle nationallicence Dynamic programming principle nationallicence Verification theorem nationallicence Viscosity solution nationallicence Shi Jing-Tao School of Mathematics, Shandong University, 250100, Jinan, People's Republic of China aut Wu Zhen School of Mathematics, Shandong University, 250100, Jinan, People's Republic of China aut Applied Mathematics & Optimization Springer-Verlag 63/2(2011-04-01), 151-189 0095-4616 63:2<151 2011 63 245 https://doi.org/10.1007/s00245-010-9115-8 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-010-9115-8 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Shi Jing-Tao School of Mathematics, Shandong University, 250100, Jinan, People's Republic of China aut NATIONALLICENCE 700 1- Wu Zhen School of Mathematics, Shandong University, 250100, Jinan, People's Republic of China aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 63/2(2011-04-01), 151-189 0095-4616 63:2<151 2011 63 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer