On zero-sum Stochastic Differential Games with Jump-Diffusion driven state: A viscosity solution framework
Optimization and Control
2010-09-28 v1 Analysis of PDEs
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
Keywords
Cite
@article{arxiv.1009.4949,
title = {On zero-sum Stochastic Differential Games with Jump-Diffusion driven state: A viscosity solution framework},
author = {Imran H. Biswas},
journal= {arXiv preprint arXiv:1009.4949},
year = {2010}
}
Comments
Siam Journal of Control and Optimization (second revision submitted)