Zero-Sum Stochastic Differential Game in Finite Horizon Involving Impulse Controls

This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ( c and χ not decreasing in time). We use the dynamic programming principle and viscosity solutions approach to show existence and uniqueness of a solution for the Hamilton–Jacobi–Bellman–Isaacs (HJBI) partial differential equation (PDE) of the game. We prove that the upper and lower value functions coincide.