Covariance control problems over martingales with fixed terminal distribution arising from game theory
DOI10.1137/110832227zbMATH Open1335.93142OpenAlexW1984161661MaRDI QIDQ2840133FDOQ2840133
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
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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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- 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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