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Stochastic Differential Games with Asymmetric Information

Cardaliaguet, Pierre; Rainer, Catherine (2009), Stochastic Differential Games with Asymmetric Information, Applied Mathematics and Optimization, 59, 1, p. 1-36. http://dx.doi.org/10.1007/s00245-008-9042-0

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00273223/fr/
Date
2009
Journal name
Applied Mathematics and Optimization
Volume
59
Number
1
Publisher
Springer
Pages
1-36
Publication identifier
Metadata
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Author(s)
Cardaliaguet, Pierre
Rainer, Catherine
Abstract (EN)
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 viscosity solutions of some second order Hamilton-Jacobi equation.
Subjects / Keywords
Stochastic differential game; Asymmetric information; Viscosity solution
JEL
D82 - Asymmetric and Private Information; Mechanism Design
C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games