Infinite-Horizon Non-Autonomous Zero-Sum Stochastic Recursive Differential Games and HJBI Equations

Abstract

In this paper, we study an infinite horizon non-autonomous stochastic recursive differential game. To this end, we first establish well-posedness and stability results for BSDEs with a time-dependent discount factor and a possibly unbounded random terminal time. The generator $f$ is allowed to be non-uniformly bounded at the origin, namely, $|f(t,0,0)|\les \beta_1(t)+\beta_2,$ $t\in[0,\infty),$ $\dbP\text{-a.s.},$ with $\beta_1\in L^1(0,\infty)$ and $\beta_2\ges0$. We then formulate a two-person zero-sum stochastic recursive differential game on the infinite horizon, where the drift, diffusion, generator and discount factor may depend explicitly on time. The lower and upper value functions are defined through Elliott--Kalton nonanticipative strategies and BSDE recursive payoffs. By finite horizon approximation, BSDE stability estimates and viscosity solution arguments, we prove that both the lower and upper value functions are deterministic and are the unique bounded viscosity solutions of their corresponding non-autonomous HJBI equations. Finally, the time-homogeneous case is recovered as a special case. Using the uniqueness of the non-autonomous HJBI equation, rather than a probabilistic shift argument, we show from the PDE viewpoint that the value functions of the autonomous system are independent of the initial time and solve the corresponding stationary HJBI equations in the viscosity sense.