Stochastic Target Games with Controlled Loss
AbstractWe 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 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1206.6325.
Date of creation: Jun 2012
Date of revision: May 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
- NEP-GTH-2012-07-08 (Game Theory)
- NEP-MIC-2012-07-08 (Microeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruno Bouchard & Marcel Nutz, 2011. "Weak Dynamic Programming for Generalized State Constraints," Papers 1105.0745, arXiv.org, revised Oct 2012.
- Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
- Marcel Nutz, 2013. "Superreplication under Model Uncertainty in Discrete Time," Papers 1301.3227, arXiv.org.
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