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Article Dans Une Revue The Annals of Applied Probability Année : 2014

Stochastic Target Games with Controlled Loss

Résumé

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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Dates et versions

hal-00712713 , version 1 (27-06-2012)

Identifiants

  • HAL Id : hal-00712713 , version 1

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Bruno Bouchard, Ludovic Moreau, Marcel Nutz. Stochastic Target Games with Controlled Loss. The Annals of Applied Probability, 2014, 24 (3), pp.899-934. ⟨hal-00712713⟩
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