A BSDE approach to stochastic differential games with incomplete information

DOI10.1016/J.SPA.2012.02.010zbMATH Open1243.93131arXiv1106.2629OpenAlexW2032702176MaRDI QIDQ424510FDOQ424510

Authors: Christine Grün 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1106.2629

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zbMATH Keywords

dynamic programmingbackward stochastic differential equationsstochastic differential gamesviscosity solutions

Mathematics Subject Classification ID

Dynamic programming (90C39) Differential games and control (49N70) Dynamic programming in optimal control and differential games (49L20) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited In (11)

• 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
• Title not available (Why is that?)

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