Show simple item record

dc.contributor.authorBouchard, Bruno
dc.contributor.authorMoreau, Ludovic
dc.contributor.authorNutz, Marcel
dc.date.accessioned2012-07-05T09:51:56Z
dc.date.available2012-07-05T09:51:56Z
dc.date.issued2014
dc.identifier.issn1050-5164
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9701
dc.language.isoenen
dc.subjectGeometric dynamic programming principle
dc.subjectViscosity solution
dc.subjectStochastic target
dc.subjectStochastic game
dc.subject.ddc519en
dc.titleStochastic Target Games with Controlled Loss
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDept. of Mathematics Columbia University;France
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) http://www.crest.fr/ INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol24
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages899-934
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/13-AAP938
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statistics
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-01-17T14:26:05Z


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record