On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework
On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework
A zero-sum differential game with controlled jump-diffusion driven state is considered and studied by a combination of dynamic programming and viscosity solution techniques. We prove, under certain conditions, that the value of the game exists. Moreover, the value function is shown to be the unique viscosity solution of a fully …