Two Person Zero-sum Game in Weak Formulation and Path Dependent Bellman-Isaacs Equation

Abstract

In this paper we study a two person zero sum stochastic differential game in weak formulation. Unlike standard literature which uses strategy type of controls, the weak formulation allows us to consider the game with control against control. We shall prove the existence of game value under natural conditions. Another main feature of the paper is that we allow for non-Markovian structure, and thus the game value is a random process. We characterize the value process as the unique viscosity solution of the corresponding path dependent Bellman-Isaacs equation, a notion recently introduced by Ekren, Keller, Touzi and Zhang (arXiv:1109.5971) and Ekren, Touzi and Zhang.