On zero-sum Stochastic Differential Games with Jump-Diffusion driven state: A viscosity solution framework

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