Published:
Institute of Mathematical Statistics, 2014
Published in:
The Annals of Applied Probability, 24 (2014) 3, Seite 899-934
Language:
English
DOI:
10.1214/13-AAP938
ISSN:
1050-5164
Origination:
Footnote:
Description:
<p>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.</p>