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Centre de Recherche en Économie et Statistique |  |
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Centre de Recherche en Économie et Statistique | |
| HAL: hal-00712713, version 1 |
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| Stochastic Target Games with Controlled Loss |
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| Bruno Bouchard 1, 2Ludovic Moreau 1 |
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| (2012-06-27) |
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| 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. |
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| 1: | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| 2: | Centre de Recherche en Économie et Statistique (CREST) |
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INSEE – École Nationale de la Statistique et de l'Administration Économique |
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| 3: | Dept. of Mathematics |
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Columbia University |
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| Subject | : | Mathematics/Probability |
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| Stochastic target – Stochastic game – Geometric dynamic programming principle – Viscosity solution |
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| hal-00712713, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00712713 | |
| oai:hal.archives-ouvertes.fr:hal-00712713 | |
| From: Bruno Bouchard | |
| Submitted on: Wednesday, 27 June 2012 20:03:32 | |
| Updated on: Thursday, 20 December 2012 09:58:12 | |
