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

DOI10.1137/080720504zbMATH Open1253.91027arXiv1009.4949OpenAlexW2017375008MaRDI QIDQ3143239FDOQ3143239

Authors: Imran H. Biswas 

Publication date: 29 November 2012

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

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

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

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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)

Cited In (11)

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

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