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摘要翻译：
我们研究了一个随机博弈，其中一个博弈者试图找到一个策略，使状态过程达到一个可控损失型的目标，无论另一个博弈者选择哪一个行动。本文给出了该问题的一个松弛的几何动态规划原理，并对受控SDE的情形导出了相应的粘性解意义下的动态规划方程。作为一个例子，我们考虑了一个在骑士不确定性下的部分套期保值问题。
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英文标题：
《Stochastic target games with controlled loss》
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作者：
Bruno Bouchard, Ludovic Moreau, Marcel Nutz
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最新提交年份：
2014
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分类信息：
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1206.6325
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