A Probabilistic-Numerical Approximation for an Obstacle Problem Arising in Game Theory

A Probabilistic-Numerical Approximation for an Obstacle Problem Arising in Game Theory We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given by the solution of a quasilinear partial differential equation with obstacle. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Probabilistic-Numerical Approximation for an Obstacle Problem Arising in Game Theory

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Publisher
Springer-Verlag
Copyright
Copyright © 2012 by Springer Science+Business Media New York
Subject
Mathematics; Mathematical Methods in Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization; Numerical and Computational Physics; Theoretical, Mathematical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-012-9175-z
Publisher site
See Article on Publisher Site

Abstract

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given by the solution of a quasilinear partial differential equation with obstacle.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Dec 1, 2012

References

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