On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework

DOI10.1137/080720504MaRDI QIDQ3143239zbMATH OpenOpenAlexFDO

Authors Imran H. Biswas

Publication date 29 November 2012

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.4949

zbMATH Keywords

dynamic programmingintegro-partial differential equationstochastic differential gamesviscosity solutionsLévy processes

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Integro-partial differential equations (45K05) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) Functional analysis in probabilistic metric linear spaces (46S50)

Abstract: A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certain conditions, that the value of the game exists and is the unique viscosity solution of a fully nonlinear integro-partial differential equation. In addition, we formulate and prove a verification theorem for such games within the viscosity solution framework for nonlocal equations

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(11)

• Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions
• Integro-PDE in Hilbert spaces: existence of viscosity solutions
• Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
• Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms
• Perron's method for nonlocal fully nonlinear equations
• Two-player zero-sum stochastic differential games with regime switching
• On the rate of convergence for monotone numerical schemes for nonlocal Isaacs equations
• Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
• Stochastic differential games with controlled regime-switching
• On the differentiability of the solutions of non-local Isaacs equations involving \(\frac{1}{2}\)-Laplacian
• Two-player zero-sum stochastic differential games with random horizon

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