Dynamic Programming and a Verification Theorem for the Recursive Stochastic Control Problem of Jump-Diffusion Models With Random Coefficients

Keyphrases

• Backward SDEs 20%
• Backward Stochastic Differential Equation 20%
• Brownian Motion 20%
• Compensated Poisson Process 20%
• Dynamic Programming 100%
• Dynamic Programming Principle 20%
• Forward Stochastic Differential Equations 40%
• Hamilton-Jacobi-Bellman Equation 40%
• Integro 100%
• Jump Diffusion 60%
• Jump-diffusion Coefficient 20%
• Jump-diffusion Process 100%
• Linear-quadratic Problem 20%
• Necessary Optimality Conditions 20%
• Nonlinear Stochastic PDE 20%
• Objective Functional 60%
• Random Coefficients 100%
• Recursive Stochastic Control Problem 100%
• Recursive Types 20%
• Second-order Nonlinear 20%
• Semigroup 20%
• Sobolev Spaces 20%
• Space Techniques 20%
• Stochastic Differential Equations with Jumps 20%
• Stochastic Optimal Control Problems 20%
• Stochastic Solutions 20%
• Utility Maximization Problem 20%
• Value Function 60%
• Verification Theorem 100%
• Weak Solution 20%

Mathematics

• Bellman Equation 25%
• Brownian Motion 12%
• Control Problems 100%
• Diffusion Model 100%
• Diffusion Process 12%
• Function Value 37%
• Optimal Control Problem 12%
• Optimality 12%
• Partial Differential Equation 12%
• Random Coefficient 100%
• Semigroup 12%
• Sobolev Space 12%
• Stochastic Differential Equation 37%
• Stochastics 100%
• Sufficient Condition 12%
• Type Integro 62%
• Utility Maximization 12%
• Weak Solution 12%