Stochastic Target Games with Controlled Loss
Bouchard, Bruno; Moreau, Ludovic; Nutz, Marcel (2014), Stochastic Target Games with Controlled Loss, The Annals of Applied Probability, 24, 3, p. 899-934. http://dx.doi.org/10.1214/13-AAP938
TypeArticle accepté pour publication ou publié
Journal nameThe Annals of Applied Probability
Institute of Mathematical Statistics
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Abstract (EN)We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the other player. We provide, in a general setup, a relaxed geometric dynamic programming for this problem and derive, for the case of a controlled SDE, the corresponding dynamic programming equation in the sense of viscosity solutions. As an example, we consider a problem of partial hedging under Knightian uncertainty.
Subjects / KeywordsGeometric dynamic programming principle; Viscosity solution; Stochastic target; Stochastic game
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Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation Bouchard, Bruno; Dang, Ngoc Minh (2013) Article accepté pour publication ou publié