Stochastic target games and dynamic programming via regularized viscosity solutions
Bruno Bouchard (CEREMADE, Université Paris Dauphine; and CREST, ENSAE-ParisTech, Paris Cedex, France), Marcel Nutz (Departments of Statistics and Mathematics, Columbia University, New York, New York)
| Year of publication: |
February 2016
|
|---|---|
| Authors: | Bouchard, Bruno ; Nutz, Marcel |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 1, p. 109-124
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| Subject: | stochastic target | stochastic differential game | Knightian uncertainty | shaking of coefficients | viscosity solution | Theorie | Theory | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Stochastisches Spiel | Stochastic game | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2015.0718 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011448306