Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
نویسندگان
چکیده
منابع مشابه
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
We study a class of stochastic target games where 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 opponent. Our main result is a geometric dynamic programming principle which allows us to characterize the value function as the viscosity solution of a non-linear partial differential equation. Because ab...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2016
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2015.0718