Covariance control problems over martingales with fixed terminal distribution arising from game theory

DOI10.1137/110832227MaRDI QIDQ2840133zbMATH OpenOpenAlexFDO

Authors Fabien Gensbittel

Publication date 17 July 2013

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/110832227

zbMATH Keywords

dualityrepeated gamesstochastic controlviscosity solutioncontinuous timeincomplete informationHJB equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Martingales with continuous parameter (60G44) Multistage and repeated games (91A20) Optimal stochastic control (93E20)

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Cited in

(6)

• Continuous-time limit of dynamic games with incomplete information and a more informed player
• Extensions of the Cav(u) Theorem for Repeated Games with Incomplete Information on One Side
• A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
• On repeated zero-sum games with incomplete information and asymptotically bounded values
• Zero-sum stopping games with asymmetric information
• Repeated games of incomplete information with large sets of states

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