Stochastic Perron for Stochastic Target Problems

被引：0
|
作者：
Erhan Bayraktar
Jiaqi Li
机构：
[1] University of Michigan,
来源：
Journal of Optimization Theory and Applications | 2016年 / 170卷
关键词：
Stochastic target problems; Stochastic Perron’s method; Jump diffusion processes; Viscosity solutions; Unbounded controls; 93E20; 49L20; 49L25; 60G46;
D O I：
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学科分类号：
摘要：
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.
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页码：1026 / 1054
页数：28
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