A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
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Publication:2968554
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.
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Cited in
(7)- DETERMINISTIC DIFFERENTIAL GAMES UNDER PROBABILITY KNOWLEDGE OF INITIAL CONDITION
- A zero sum differential game with correlated informations on the initial position. A case with a continuum of initial positions
- Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
- A two-player zero-sum game where only one player observes a Brownian motion
- Acyclic Gambling Games
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- Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side
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