Stochastic target games with controlled loss
نویسندگان
چکیده
منابع مشابه
Stochastic Target Games with Controlled Loss
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 for this problem and derive, for the case of a controlled SDE, the corresponding dynamic programming equation in the sense of viscos...
متن کاملStochastic Target Problems with Controlled Loss
We consider the problem of finding the minimal initial data of a controlled process which guarantees to reach a controlled target with a given probability of success or, more generally, with a given level of expected loss. By suitably increasing the state space and the controls, we show that this problem can be converted into a stochastic target problem, i.e. find the minimal initial data of a ...
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In this paper, we consider a mixed diffusion version of the stochastic target problem introduced in [3]. This consists in finding the minimum initial value of a controlled process which guarantees to reach a controlled stochastic target with a given level of expected loss. It can be converted into a standard stochastic target problem, by increasing both the state space and the dimension of the ...
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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...
متن کاملStochastic games with additive transitions
We deal with n-player AT stochastic games, where AT stands for additive transitions. These are stochastic games in which the transition probability vector ps(as), for action combination as 1⁄4 ðas ; . . . ; as Þ in state s, can be decomposed into player-dependent components as: 0377-2 doi:10. * Co E-m psðasÞ 1⁄4 Xn
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2014
ISSN: 1050-5164
DOI: 10.1214/13-aap938