Stochastic differential games with asymmetric information
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Publication:2391246
Optimality conditions for problems involving randomness (49K45) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)
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.
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