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Stochastic Perron for Stochastic Target Problems

Author

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  • Erhan Bayraktar

    (University of Michigan)

  • Jiaqi Li

    (University of Michigan)

Abstract

In this paper, we adapt stochastic Perron’s method to analyze stochastic target problems in a jump diffusion setup, where the controls are unbounded. 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 of Bayraktar and Sîrbu (SIAM J Control Optim 51(6):4274–4294, 2013) to problems with controlled jumps.

Suggested Citation

  • Erhan Bayraktar & Jiaqi Li, 2016. "Stochastic Perron for Stochastic Target Problems," Journal of Optimization Theory and Applications, Springer, vol. 170(3), pages 1026-1054, September.
    • Handle: RePEc:spr:joptap:v:170:y:2016:i:3:d:10.1007_s10957-016-0958-2
    DOI: 10.1007/s10957-016-0958-2
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    References listed on IDEAS

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    1. Bouchard, Bruno, 2002. "Stochastic targets with mixed diffusion processes and viscosity solutions," Stochastic Processes and their Applications, Elsevier, vol. 101(2), pages 273-302, October.
    2. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(4), pages 1007-1017, August.
    3. Ludovic Moreau, 2011. "Stochastic target problems with controlled loss in jump diffusion models," Post-Print hal-00515522, HAL.
    4. Bruno Bouchard & Marcel Nutz, 2016. "Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 109-124, February.
    5. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1461-1465, December.
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    9. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(2), pages 541-545, April.
    10. Erhan Bayraktar & Jiaqi Li, 2014. "Stochastic Perron for stochastic target games," Papers 1408.6799, arXiv.org, revised Apr 2016.
    11. Erhan Bayraktar & Jiaqi Li, 2016. "Stochastic Perron for Stochastic Target Problems," Journal of Optimization Theory and Applications, Springer, vol. 170(3), pages 1026-1054, September.
    12. Bruno Bouchard & Marcel Nutz, 2015. "Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions," Post-Print hal-00846830, HAL.
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    Cited by:

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