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Representations Formulas for Some Differential Games with Asymmetric Information

Cardaliaguet, Pierre (2008), Representations Formulas for Some Differential Games with Asymmetric Information, Journal of Optimization Theory and Applications, 138, 1, p. 1-16. http://dx.doi.org/10.1007/s10957-008-9377-3

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00657564/fr/
Date
2008
Journal name
Journal of Optimization Theory and Applications
Volume
138
Number
1
Publisher
Springer
Pages
1-16
Publication identifier
Metadata
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Author(s)
Cardaliaguet, Pierre
Abstract (EN)
We compute the value of several two-player zero-sum differential games in which the players have an asymmetric information on the random terminal payoff.
Subjects / Keywords
Viscosity solutions; Hamilton–Jacobi equations; Representation formulas; Differential games