Stochastic target games with controlled loss

Bruno Bouchard, Ludovic Moreau and Marcel Nutz

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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.

Date: 2012-06, Revised 2014-04
New Economics Papers: this item is included in nep-gth and nep-mic
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Published in Annals of Applied Probability 2014, Vol. 24, No. 3, 899-934

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1206.6325

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