Stochastic Perron for Stochastic Target Problems

Erhan Bayraktar and Jiaqi Li ()
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Jiaqi Li: University of Michigan

Journal of Optimization Theory and Applications, 2016, vol. 170, issue 3, No 18, 1026-1054

Abstract: Abstract In this paper, we adapt stochastic Perron’s method to analyze stochastic target problems in a jump diffusion setup, where the controls are unbounded. Since classical control problems can be analyzed under the framework of stochastic target problems (with unbounded controls), we use our results to generalize the results of Bayraktar and Sîrbu (SIAM J Control Optim 51(6):4274–4294, 2013) to problems with controlled jumps.

Keywords: Stochastic target problems; Stochastic Perron’s method; Jump diffusion processes; Viscosity solutions; Unbounded controls; 93E20; 49L20; 49L25; 60G46 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10957-016-0958-2

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