Stochastic target games with controlled loss
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Publication:2454400
Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)
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.
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Cited in
(16)- Moral hazard under ambiguity
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