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A note on the strong formulation of stochastic control problems with model uncertainty

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	A note on the strong formulation of stochastic control problems with model uncertainty
2.	Creator	Author's name, affiliation, country	Mihai Sirbu; The University of Texas at Austin; United States
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	model uncertainty; stochastic games; elementary feedback strategies; Stochastic Perron's method; viscosity solutions
3.	Subject	Subject classification	91A05, 91A15, 49L20, 49L25
4.	Description	Abstract	We consider a  Markovian stochastic control problem with  model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feedback (closed-loop) strategies.  The adverse player (nature) who does not have a direct interest in the payoff, chooses open-loop controls that parametrize Knightian uncertainty. This creates a two-step optimization  problem (like half of a game) over feedback strategies and open-loop controls. The main result is to show that, under some assumptions, this provides the  same value as the  (half of) the zero-sum symmetric game where the adverse player  also plays feedback strategies and actively tries to minimize the payoff. The value function is independent of the filtration accessible to the adverse player. Aside from the modeling issue, the present note is a technical companion to a previous work.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	National Science Foundation
7.	Date	(YYYY-MM-DD)	2014-11-26
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/3436
10.	Identifier	Digital Object Identifier	10.1214/ECP.v19-3436
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 19
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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