Stochastic Perron for stochastic target problems

DOI10.1007/S10957-016-0958-2zbMATH Open1346.93394arXiv1604.03906OpenAlexW2338818564MaRDI QIDQ328468FDOQ328468

Authors: Erhan Bayraktar, Jiaqi Li 

Publication date: 20 October 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1604.03906

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zbMATH Keywords

viscosity solutionsjump diffusion processesstochastic Perron's methodstochastic target problemsunbounded controls

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) Martingales and classical analysis (60G46)

Cites Work

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Cited In (9)

• On the controller-stopper problems with controlled jumps
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• Lifetime ruin under high-water mark fees and drift uncertainty
• A general verification result for stochastic impulse control problems
• Stochastic Perron for stochastic target games
• Stochastic target problems with controlled loss
• Stochastic processes and target zones revisited
• Stochastic target problems with controlled loss in jump diffusion models
• Minimizing the discounted probability of exponential Parisian ruin via reinsurance

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