Stochastic target games with controlled loss

DOI10.1214/13-AAP938zbMath1290.49075arXiv1206.6325MaRDI QIDQ2454400

Bruno Bouchard, Marcel Nutz, Ludovic Moreau

Publication date: 13 June 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.6325

zbMATH Keywords

viscosity solution; stochastic game; geometric dynamic programming principle; stochastic target

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

49N70: Differential games and control

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

91A15: Stochastic games, stochastic differential games

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games