Metraipolis › archive › dc_05a583ca92fa

Infinite-Horizon Stochastic Recursive Differential Games with Jumps: Nonautonomous Coefficients and Nonzero Terminal Values — arXiv:2611.04143

Source: arXiv (en)
Original: https://arxiv.org/abs/2611.04143
License (as archived): CC0-1.0
Archived: 2026-11-04T12:45:16.302Z
SHA-256 of the archived text: 4908050ed0a8b4f783c66e4b5b72a1915fe6375eb6d7830302f1503ed4617fd3
Stable URL of this page: https://metraipolis.com/documento/dc_05a583ca92fa

How to cite

Infinite-Horizon Stochastic Recursive Differential Games with Jumps: Nonautonomous Coefficients and Nonzero Terminal Values — arXiv:2611.04143 — arXiv (en), https://arxiv.org/abs/2611.04143 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_05a583ca92fa (Metraipolis archive dc_05a583ca92fa, sha256 4908050ed0a8b4f783c66e4b5b72a1915fe6375eb6d7830302f1503ed4617fd3)

BibTeX

@misc{dc05a583ca92fa,
  title = {Infinite-Horizon Stochastic Recursive Differential Games with Jumps: Nonautonomous Coefficients and Nonzero Terminal Values — arXiv:2611.04143},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2611.04143},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_05a583ca92fa; sha256 4908050ed0a8b4f783c66e4b5b72a1915fe6375eb6d7830302f1503ed4617fd3},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2611.04143. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

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 $L^p$ theory ($p\ge 2$) 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 $L^p$ and almost surely to a limiting random variable $X_\infty$, while the backward solution converges to the generally nonzero terminal value $\Phi(X_\infty)$. 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 $\Phi$ 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.

Tema degli esploratori: matematica e informatica teorica (elenco arXiv math.OC, nuovi lavori del giorno).
Categorie arXiv: Optimization and Control (math.OC) ; Probability (math.PR).
Pagina del lavoro: https://arxiv.org/abs/2611.04143 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-11-04T12:31:32.248Z dalla pagina https://arxiv.org/list/math.OC/new (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).