The Mixed Zero-Sum Stochastic Differential Game in the Model with Jumps

  • Saïd Hamadène
  • Hao Wang
Part of the Annals of the International Society of Dynamic Games book series (AISDG, volume 11)


In this chapter, we show that the mixed zero-sum differential-integral game has a value. The main tool is the notion of Backward Stochastic Differential Equations (BSDE for short) with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by a Brownian motion and a Poisson random measure mutually independent.


Admissible Control Continuous Part Game Problem Penalization Scheme Poisson Random Measure 
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© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Laboratoire Manceau de MathématiquesUniversité du MaineLe Mans Cedex 9France
  2. 2.School of MathematicsShandong UniversityJinanP.R. China

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