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 publiéExternal document link
http://hal.archives-ouvertes.fr/hal-00273223/fr/Date
2009Journal name
Applied Mathematics and OptimizationVolume
59Number
1Publisher
Springer
Pages
1-36
Publication identifier
Metadata
Show full item recordAbstract (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 solutionRelated items
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