Abstract
We extend the stochastic Perron method to analyze the framework of stochastic target games, in which 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 other player. Within this framework, our method produces a viscosity sub-solution (super-solution) of a Hamilton–Jacobi–Bellman (HJB) equation. We then characterize the value function as a viscosity solution to the HJB equation using a comparison result and a byproduct to obtain the dynamic programming principle.
Citation
Erhan Bayraktar. Jiaqi Li. "Stochastic Perron for stochastic target games." Ann. Appl. Probab. 26 (2) 1082 - 1110, April 2016. https://doi.org/10.1214/15-AAP1112
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