Stochastic differential games with asymmetric information
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Publication:2391246
DOI10.1007/S00245-008-9042-0zbMATH Open1170.91308arXivmath/0703155OpenAlexW2052982373MaRDI QIDQ2391246FDOQ2391246
Authors: Pierre Cardaliaguet, Catherine Rainer 
Publication date: 24 July 2009
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Abstract: We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some second order Hamilton-Jacobi equation.
Full work available at URL: https://arxiv.org/abs/math/0703155
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Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimality conditions for problems involving randomness (49K45) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15)
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Cited In (48)
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