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- Publisher
- Springer Journals
- Copyright
- Copyright © 2009 by Springer Science+Business Media, LLC
- Subject
- Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-008-9042-0
- Publisher site
- See Article on Publisher Site
Abstract
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.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Feb 1, 2009