Journal of Optimization Theory and Applications

, Volume 170, Issue 3, pp 1026–1054

Stochastic Perron for Stochastic Target Problems

Article
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Abstract

In this paper, we adapt stochastic Perron’s method to analyze stochastic target problems in a jump diffusion setup, where the controls are unbounded. Since classical control problems can be analyzed under the framework of stochastic target problems (with unbounded controls), we use our results to generalize the results of Bayraktar and Sîrbu (SIAM J Control Optim 51(6):4274–4294, 2013) to problems with controlled jumps.

Keywords

Stochastic target problems Stochastic Perron’s method Jump diffusion processes Viscosity solutions Unbounded controls 

Mathematics Subject Classification

93E20 49L20 49L25 60G46 

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.University of MichiganAnn ArborUSA

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