Stochastic Perron for stochastic target games

DOI10.1214/15-AAP1112zbMath1337.93100arXiv1408.6799OpenAlexW3101083563MaRDI QIDQ292921

Erhan Bayraktar, Jiaqi Li

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.6799

zbMATH Keywords

viscosity solutionsstochastic target problemgeometric dynamic programming principlestochastic Perron method

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic games (91A25) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46)

Related Items (5)

Stochastic Perron for stochastic target problems ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ On the controller-stopper problems with controlled jumps

Cites Work

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• Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

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