Stochastic differential games with asymmetric information.

Pierre Cardaliaguet (1) , Catherine Rainer (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 LM-Brest - Laboratoire de Mathématiques

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.

Domaines: Optimisation et contrôle [math.OC]

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