For a zero-sum stochastic linear-quadratic differential game with jumps, random coefficients and cone constraints, the paper proves a unique saddle point under convexity-concavity and derives a feedback form, with existence of the associated Riccati equations only in a special case.
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Constrained Zero-Sum Stochastic Linear-Quadratic Differential Game for Jump-Diffusion Systems with Random Coefficients
For a zero-sum stochastic linear-quadratic differential game with jumps, random coefficients and cone constraints, the paper proves a unique saddle point under convexity-concavity and derives a feedback form, with existence of the associated Riccati equations only in a special case.