Infinite-Horizon Stochastic Recursive Differential Games with Jumps: Nonautonomous Coefficients and Nonzero Terminal Values
Sheng Luo, Qingmeng Wei, Yaxin Wen
Abstract
In this paper, we investigate a class of decoupled infinite-horizon forward--backward stochastic differential equations (FBSDEs) with time-dependent coefficients and jumps. Under suitable time-integrability conditions on the coefficient growth and stochastic Lipschitz moduli, we establish an Lp theory (p 2) for these systems, including well-posedness, moment estimates, conditional stability, and tail estimates, without imposing dissipativity of the forward dynamics or monotonicity of the backward generator in its value variable. In particular, the forward state converges in Lp and almost surely to a limiting random variable X∞, while the backward solution converges to the generally nonzero terminal value Φ(X∞). Within this framework, we study infinite-horizon two-player zero-sum stochastic recursive differential games. We prove that the lower and upper value functions are deterministic and establish the dynamic programming principle (DPP) using backward stochastic semigroups and nonanticipative strategies. Both value functions converge locally uniformly to Φ as the initial time tends to infinity and are characterized as viscosity solutions of the corresponding non-autonomous, nonlocal Hamilton--Jacobi--Bellman--Isaacs (HJBI) equations. Under an additional integrable Lyapunov-barrier condition, we establish a comparison principle for continuous viscosity subsolutions and supersolutions of uniform linear growth, provided that at least one is uniformly Lipschitz in space. This yields uniqueness for both HJBI equations in the linear-growth class. Finally, we establish a weaker, contact-wise Isaacs criterion ensuring that the lower and upper value functions coincide and hence that the game has a value.
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