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• W3100306062 abstract "We 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 principle 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." @default.
• W3100306062 created "2020-11-23" @default.
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• W3100306062 date "2014-06-01" @default.
• W3100306062 modified "2023-10-02" @default.
• W3100306062 title "Stochastic target games with controlled loss" @default.
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• W3100306062 doi "https://doi.org/10.1214/13-aap938" @default.
• W3100306062 hasPublicationYear "2014" @default.
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