Work

Stochastic Perron for stochastic target games

Year: 2014

Type: preprint

Abstract: We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely reaches a given target no matter which action is chosen by the other player. Within this framework, our method produces a viscosity sub-solution (super-solution) of a Hamilton-Jacobi-Bellman (HJB) equation. We then characterize the value function as a viscosity solution to the HJB equation using a comparison result and a byproduct to obtain the dynamic programming principle.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1408.6799

Authors: Bayraktar, Erhan, Li, Jiaqi

Institution: University of Michigan

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2490159976

Cites: 15

Cited by: 1

Related to: 10