Stochastic Differential Games with Asymmetric Information

Stochastic Differential Games with Asymmetric Information 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Stochastic Differential Games with Asymmetric Information

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Publisher
Springer-Verlag
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
D.O.I.
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 OptimizationSpringer Journals

Published: Feb 1, 2009

References

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