STOCHASTIC TARGET GAMES WITH CONTROLLED LOSS

被引：11

作者：

Ouchard, Bruno B. ^{[1
,2
]}

Moreau, Ludovic ^{[3
]}

Nutz, Marcel ^{[4
]}

机构：

[1] Univ Paris 09, CEREMADE, F-75775 Paris, France

[2] Univ Paris 09, CREST ENSAE, F-75775 Paris, France

[3] ETH, Dept Math, CH-8092 Zurich, Switzerland

[4] Columbia Univ, Dept Math, New York, NY 10027 USA

来源：

ANNALS OF APPLIED PROBABILITY | 2014年 / 24卷 / 03期

基金：

欧洲研究理事会;

关键词：

Stochastic target; stochastic game; geometric dynamic programming principle; viscosity solution; G-BROWNIAN MOTION; VISCOSITY SOLUTIONS; DIFFERENTIAL-EQUATIONS; G-EXPECTATION; UNCERTAINTY; CALCULUS;

D O I：

10.1214/13-AAP938

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：899 / 934

页数：36

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