Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions

DOI10.1287/moor.2015.0718zbMath1334.93178arXiv1307.5606OpenAlexW1825269578MaRDI QIDQ2800366

Marcel Nutz, Bruno Bouchard

Publication date: 15 April 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.5606

zbMATH Keywords

viscosity solutionstochastic differential gameKnightian uncertaintystochastic targetshaking of coefficients

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (11)

Stochastic Perron for stochastic target games ⋮ Stochastic Perron for stochastic target problems ⋮ Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Hedging of Covered Options with Linear Market Impact and Gamma Constraint ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ On the controller-stopper problems with controlled jumps ⋮ Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control

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