A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides

DOI10.1137/16M106217XzbMATH Open1358.91018arXiv1602.06140OpenAlexW2286053263MaRDI QIDQ2968554FDOQ2968554

Fabien Gensbittel, Catherine Rainer

Publication date: 17 March 2017

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

Abstract: We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where both players control a continuous martingale. A similar representation as a control problem over discontinuous martingales was known for games with incomplete information on one side (see Cardaliaguet-Rainer [8]), and our result is a continuous-time analog of the so called splitting-game introduced in Laraki [20] and Sorin [27] in order to analyze discrete-time models. It was proved by Cardaliaguet [4, 5] that the value of the games we consider is the unique solution of some Hamilton-Jacobi equation with convexity constraints. Our result provides therefore a new probabilistic representation for solutions of Hamilton-Jacobi equations with convexity constraints as values of stochastic differential games with unbounded control spaces and unbounded volatility.

Full work available at URL: https://arxiv.org/abs/1602.06140

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zbMATH Keywords

Hamilton-Jacobi equationsincomplete informationstochastic differential gamezero-sum continuous-time game

Mathematics Subject Classification ID

Random fields (60G60) Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited In (7)

• A zero sum differential game with correlated informations on the initial position. A case with a continuum of initial positions
• A two-player zero-sum game where only one player observes a Brownian motion
• Acyclic Gambling Games
• Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians
• Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side
• Variation of measure-valued martingales and repeated games with incomplete information
• DETERMINISTIC DIFFERENTIAL GAMES UNDER PROBABILITY KNOWLEDGE OF INITIAL CONDITION

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