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Pré-Publication, Document De Travail Année : 2010

Integral-Partial Differential Equations of Isaacs' Type Related to Stochastic Differential Games with Jumps

Ying Hu
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Juan Li
  • Fonction : Auteur

Résumé

In this paper we study zero-sum two-player stochastic differential games with jumps with the help of theory of Backward Stochastic Differential Equations (BSDEs). We generalize the results of Fleming and Souganidis [10] and those by Biswas [3] by considering a controlled stochastic system driven by a d-dimensional Brownian motion and a Poisson random measure and by associating nonlinear cost functionals defined by controlled BSDEs. Moreover, unlike the both papers cited above we allow the admissible control processes of both players to depend on all events occurring before the beginning of the game. This quite natural extension allows the players to take into account such earlier events, and it makes even easier to derive the dynamic programming principle. The price to pay is that the cost functionals become random variables and so also the upper and the lower value functions of the game are a priori random fields. The use of a new method allows to prove that, in fact, the upper and the lower value functions are deterministic. On the other hand, the application of BSDE methods [18] allows to prove a dynamic programming principle for the upper and the lower value functions in a very straight-forward way, as well as the fact that they are the unique viscosity solutions of the upper and the lower integral-partial differential equations of Hamilton-Jacobi-Bellman-Isaacs' type, respectively. Finally, the existence of the value of the game is got in this more general setting if Isaacs' condition holds.

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Dates et versions

hal-00560911 , version 1 (31-01-2011)

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Citer

Rainer Buckdahn, Ying Hu, Juan Li. Integral-Partial Differential Equations of Isaacs' Type Related to Stochastic Differential Games with Jumps. 2010. ⟨hal-00560911⟩
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