Hybrid optimal control problems are studied for a general class of hybrid systems, where autonomous and controlled state jumps are allowed at the switching instants, and in addition to terminal and running costs, switching between discrete states incurs costs. The statements of the Hybrid Minimum Principle and Hybrid Dynamic Programming are presented in this framework, and it is shown that under certain assumptions, the adjoint process in the Hybrid Minimum Principle and the gradient of the value function in Hybrid Dynamic Programming are governed by the same set of differential equations and have the same boundary conditions and hence are almost everywhere identical to each other along optimal trajectories. Analytic examples are provided to illustrate the results.