Stochastic Perron for stochastic target games
type: Item
instance of: scholarly article
title: Stochastic Perron for stochastic target games
zbMATH Open document ID: 1337.93100
DOI: 10.1214/15-AAP1112
author: Erhan Bayraktar
author: Jiaqi Li
published in: The Annals of Applied Probability
publication date: 2016-06-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1408.6799
full work available at URL: https://projecteuclid.org/euclid.aoap/1458651828
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 60G46
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91A25
zbMATH DE Number: 6590331
zbMATH Keywords: stochastic target problem
zbMATH Keywords: stochastic Perron method
zbMATH Keywords: viscosity solutions
zbMATH Keywords: geometric dynamic programming principle
MaRDI profile type: Publication
arXiv ID: 1408.6799
cites work: Robust feedback switching control: dynamic programming and viscosity solutions
cites work: On the multidimensional controller-and-stopper games
cites work: Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
cites work: Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
cites work: Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games
cites work: Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs
cites work: Stochastic target games with controlled loss
cites work: Stochastic target games and dynamic programming via regularized viscosity solutions
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Continuous-time stochastic control and optimization with financial applications
cites work: Stochastic Perron's method for optimal control problems with state constraints
cites work: Verification by stochastic Perron's method in stochastic exit time control problems
cites work: A note on the strong formulation of stochastic control problems with model uncertainty
cites work: Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games
cites work: Dynamic programming for stochastic target problems and geometric flows
cites work: Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
cites work: Optimal stochastic control, stochastic target problems, and backward SDE.
OpenAlex ID: W3101083563
description: scientific article; zbMATH DE number 6590331