Pathwise strategies for stochastic differential games with an erratum to ``Stochastic differential games with asymmetric information

DOI10.1007/S00245-013-9198-0MaRDI QIDQ372998zbMATH OpenOpenAlexFDO

Authors Pierre Cardaliaguet, Catherine Rainer

Publication date 21 October 2013

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.4634

zbMATH Keywords

differential gamesstrategiesgames with incomplete information

Mathematics Subject Classification ID

Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

Abstract: We introduce a new notion of pathwise strategies for stochastic differential games. This allows us to give a correct meaning to some statement asserted in [Cardaliaguet-Rainer 2009].

Recommendations

• Stochastic differential games with asymmetric information
• Differential Games with Asymmetric Information
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Cites work

• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• Axiomatic approach in differential games
• Controlled Markov processes and viscosity solutions
• On the Existence of Solutions to a Differential Game
• On the value of stochastic differential games
• Pathwise construction of stochastic integrals
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Stochastic differential games with asymmetric information
• Strategies for differential games

Cited in

(11)

• Numerical approximation of the value of a stochastic differential game with asymmetric information
• Differential games
• Existence of value for a differential game with asymmetric information and signal revealing
• A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
• Differential games with asymmetric information and without Isaacs' condition
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• Differential games in \(L^{\infty}\)
• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• Contract theory in a VUCA world
• How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown Competition
• Zero-sum path-dependent stochastic differential games in weak formulation

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