Differential Games with Asymmetric Information

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Stochastic differential games with asymmetric information

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. Key-words : stochastic differential game, asymmetric information, viscosity solution. A.M.S. classification : 49N70, 49L...

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ژورنال

عنوان ژورنال: SIAM Journal on Control and Optimization

سال: 2007

ISSN: 0363-0129,1095-7138

DOI: 10.1137/060654396