Stochastic Perron for stochastic target problems

DOI10.1007/S10957-016-0958-2MaRDI QIDQ328468zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Jiaqi Li

Publication date 20 October 2016

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

Full work available at URL https://arxiv.org/abs/1604.03906, http://hdl.handle.net/2027.42/135755

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)

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.

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Cites work

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Cited in

(9)

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

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