Stochastic differential games for fully coupled FBSDEs with jumps

DOI10.1007/S00245-014-9264-2MaRDI QIDQ2355304zbMATH OpenOpenAlexFDO

Authors Li Juan, Wei Qingmeng

Publication date 22 July 2015

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.0938

zbMATH Keywords

dynamic programming principleforward-backward stochastic differential equationsHamilton-Jacobi-Bellman-Isaacs equationstochastic backward semigroupstochastic differential gamesvalue functionviscosity solution

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

Abstract: This paper is concerned with stochastic differential games (SDGs) defined through fully coupled forward-backward stochastic differential equations (FBSDEs) which are governed by Brownian motion and Poisson random measure. For SDGs, the upper and the lower value functions are defined by the controlled fully coupled FBSDEs with jumps. Using a new transformation introduced in [6], we prove that the upper and the lower value functions are deterministic. Then, after establishing the dynamic programming principle for the upper and the lower value functions of this SDGs, we prove that the upper and the lower value functions are the viscosity solutions to the associated upper and the lower Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations, respectively. Furthermore, for a special case (when $sigma,h$ do not depend on $y,z,k$), under the Isaacs' condition, we get the existence of the value of the game.

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Cited in

(24)

• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
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