Pathwise strategies for stochastic differential games with an erratum to ''Stochastic Differential Games with Asymmetric Information''

Pierre Cardaliaguet (1) , Catherine Rainer (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 LMBA - Laboratoire de Mathématiques de Bretagne Atlantique

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].

Mots clés: stochastic differential games; strategies

Domaines: Optimisation et contrôle [math.OC]

Pierre Cardaliaguet, Catherine Rainer. Pathwise strategies for stochastic differential games with an erratum to ''Stochastic Differential Games with Asymmetric Information''. Applied Mathematics and Optimization, 2013, 68 (1), pp.75-84. ⟨10.1007/s00245-013-9198-0⟩. ⟨hal-00766454⟩