Stochastic Perron for Stochastic Target Problems

Erhan Bayraktar and Jiaqi Li

Papers from arXiv.org

Abstract: In this paper, we adapt stochastic Perron's method to analyze a stochastic target problem with unbounded controls in a jump diffusion set-up. With this method, we construct a viscosity sub-solution and super-solution to the associated Hamiltonian-Jacobi-Bellman (HJB) equations. Under comparison principles, uniqueness of the viscosity solutions holds and the value function coincides with the unique solution in the parabolic interior. 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 in ArXiv:1212.2170 to problems with controlled jumps.

Date: 2016-04, Revised 2016-05
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Citations: View citations in EconPapers (4)

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Journal Article: Stochastic Perron for Stochastic Target Problems (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1604.03906

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