Differential games with asymmetric and correlated information
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comparison principledifferential gamesvalue functionviscosity solutionsincomplete informationFenchel duality
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) 2-person games (91A05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Problems with incomplete information (optimization) (49N30) Multistage and repeated games (91A20) Control/observation systems with incomplete information (93C41) Duality theory (optimization) (49N15)
Abstract: Differential games with asymmetric information were introduced by Cardaliaguet (2007). As in repeated games with lack of information on both sides (Aumann and Maschler (1995)), each player receives a private signal (his type) before the game starts and has a prior belief about his opponent's type. Then, a differential game is played in which the dynamic and the payoff function depend on both types: each player is thus partially informed about the differential game that is played. The existence of the value function and some characterizations have been obtained under the assumption that the signals are drawn independently. In this paper, we drop this assumption and extend these two results to the general case of correlated types. This result is then applied to repeated games with incomplete information: the characterization of the asymptotic value obtained by Rosenberg and Sorin (2001) and Laraki (2001) for the independent case is extended to the general case.
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Cites work
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 1113627 (Why is no real title available?)
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Cited in
(20)- A zero sum differential game with correlated informations on the initial position. A case with a continuum of initial positions
- Repeated Games with Lack of Information on One Side: The Dual Differential Approach
- 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
- Differential Games with Information Lags
- 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
- Approximation and representation of the value for some differential games with asymmetric information
- Hamilton-Jacobi-Isaacs equations for differential games with asymmetric information on probabilistic initial condition
- Zero-sum stopping games with asymmetric information
- Infinite horizon differential games with asymmetric information
- Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
- Existence of value for differential games with incomplete information and signals on initial states and payoffs
- Existence of value for a differential game with incomplete information and revealing
- Asymptotically optimal strategies in repeated games with incomplete information and vanishing weights
- Differential games with incomplete information and with signal revealing: the symmetric case
- Pathwise strategies for stochastic differential games with an erratum to ``Stochastic differential games with asymmetric information
- Optimal strategies in zero-sum repeated games with incomplete information: the dependent case
- Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side
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