A BSDE approach to stochastic differential games with incomplete information
From MaRDI portal
(Redirected from Publication:424510)
Abstract: We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our aim is to quantify the amount of information the informed player has to reveal in order to play optimally: to do so, we show that the value function of this zero-sum game can be rewritten as a minimization problem over some martingale measures with a payoff given by the solution of a backward stochastic differential equation.
Recommendations
- Stochastic differential games with asymmetric information
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- Differential Games with Asymmetric Information
- Stochastic zero-sum differential games and backward stochastic differential equations
- Zero-sum stochastic games with partial information
Cites work
- scientific article; zbMATH DE number 5604590 (Why is no real title available?)
- scientific article; zbMATH DE number 4125214 (Why is no real title available?)
- scientific article; zbMATH DE number 503133 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- scientific article; zbMATH DE number 1066321 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- A double obstacle problem arising in differential game theory
- Backward Stochastic Differential Equations in Finance
- Hamilton-Jacobi Equations with State Constraints
- On a continuous-time game with incomplete information
- Repeated games with incomplete information. With the collaboration of Richard E. Stearns
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic differential games with asymmetric information
- Tightness criteria for laws of semimartingales
- User’s guide to viscosity solutions of second order partial differential equations
- Zero-sum stochastic differential games and backward equations
Cited in
(11)- scientific article; zbMATH DE number 1066318 (Why is no real title available?)
- Numerical approximation of the value of a stochastic differential game with asymmetric information
- Continuous-time limit of dynamic games with incomplete information and a more informed player
- Solving two-state Markov games with incomplete information on one side
- Continuous-time Markov games with asymmetric information
- A two-player zero-sum game where only one player observes a Brownian motion
- BSDEs with random default time and related zero-sum stochastic differential games
- A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
- Zero-sum stopping games with asymmetric information
- A probabilistic-numerical approximation for an obstacle problem arising in game theory
- A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
This page was built for publication: A BSDE approach to stochastic differential games with incomplete information
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424510)
