Zero-sum stochastic differential game in finite horizon involving impulse controls (Q2187339)

This paper deals with zero-sum stochastic differential game in the finite time horizon and without monotonicity of the cost functions. It is assumed that both players apply impulse controls. The objective is to give a characterization of the value function as the only solution in the viscosity sense of the associated Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation. To obtain the result the authors prove the weak dynamic programming principle. Then, making use of this principle they get the continuity of the lower and upper value functions. Finally, they show the connection between the zero-sum stochastic differential game and the HJBI equation.