Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions

@article{Bouchard2016StochasticTG,
  title={Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions},
  author={Bruno Bouchard and Marcel Nutz},
  journal={Math. Oper. Res.},
  year={2016},
  volume={41},
  pages={109-124}
}
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 abstract measurable selection arguments cannot be used in this context, the main obstacle is the… CONTINUE READING

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