  We present an exactly-solvable risk-minimizing stochastic differential game
for flood management in rivers. The streamflow dynamics follow stochastic
differential equations driven by a Levy process. An entropic dynamic risk
measure is employed to evaluate a flood risk under model uncertainty. The
problem is solved via a Hamilton-Jacobi-Bellman-Isaacs equation. We explicitly
derive an optimal flood mitigation policy along with its existence criteria and
the worst-case probability measure. A backward stochastic differential
representation as an alternative formulation is also presented.
