Stochastic target games with controlled loss
Optimization and Control
2014-04-29 v3 Probability
Pricing of Securities
Abstract
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 principle 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.
Cite
@article{arxiv.1206.6325,
title = {Stochastic target games with controlled loss},
author = {Bruno Bouchard and Ludovic Moreau and Marcel Nutz},
journal= {arXiv preprint arXiv:1206.6325},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/13-AAP938 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)