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Stochastic differential games with asymmetric information.

Abstract : We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some second order Hamilton-Jacobi equation.
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https://hal.archives-ouvertes.fr/hal-00273223
Contributor : Pierre Cardaliaguet <>
Submitted on : Monday, April 14, 2008 - 5:06:52 PM
Last modification on : Monday, October 5, 2020 - 11:32:01 AM
Long-term archiving on: : Thursday, May 20, 2010 - 8:29:56 PM

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  • HAL Id : hal-00273223, version 1

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Pierre Cardaliaguet, Catherine Rainer. Stochastic differential games with asymmetric information.. Applied Mathematics and Optimization, Springer Verlag (Germany), 2009, 59, pp.1-36. ⟨hal-00273223⟩

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