dc.contributor.author | Cardaliaguet, Pierre | |
dc.contributor.author | Rainer, Catherine | |
dc.date.accessioned | 2012-02-29T14:38:15Z | |
dc.date.available | 2012-02-29T14:38:15Z | |
dc.date.issued | 2012 | |
dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/8329 | |
dc.language.iso | en | en |
dc.subject | Hamilton-Jacobi equations | en |
dc.subject | Continuous-time game | en |
dc.subject | martingale measures | en |
dc.subject | incomplete information | en |
dc.subject.ddc | 519 | en |
dc.title | Games with incomplete information in continuous time and for continuous types | en |
dc.type | Article accepté pour publication ou publié | |
dc.description.abstracten | We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an auxiliary optimization problem over a set of measure-valued processes. Then we use this equivalent formulation to characterize the value function as the viscosity solution of a special type of a Hamilton-Jacobi equation. This paper generalizes the results of a previous work of the authors , where only a finite number of possible payoffs is considered. | en |
dc.relation.isversionofjnlname | Dynamic Games and Applications | |
dc.relation.isversionofjnlvol | 2 | |
dc.relation.isversionofjnlissue | 2 | |
dc.relation.isversionofjnldate | 2012 | |
dc.relation.isversionofjnlpages | 206-227 | |
dc.relation.isversionofdoi | http://dx.doi.org/10.1007/s13235-012-0043-x | |
dc.identifier.urlsite | http://hal.archives-ouvertes.fr/hal-00672658 | en |
dc.description.sponsorshipprivate | oui | en |
dc.relation.isversionofjnlpublisher | Springer | |
dc.subject.ddclabel | Probabilités et mathématiques appliquées | en |