Stochastic Differential Games with Asymmetric Information
Journal Article
·
· Applied Mathematics and Optimization
- Universite de Brest, Laboratoire de Mathematique (UMR CNRS 6205) (France)
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.
- OSTI ID:
- 21241904
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 59; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
Stochastic differential games with weak spatial and strong informational coupling
Stochastic Games with Average Payoff Criterion
Stochastic Differential Games for Fully Coupled FBSDEs with Jumps
Conference
·
Sun Dec 31 23:00:00 EST 1989
·
OSTI ID:7184737
Stochastic Games with Average Payoff Criterion
Journal Article
·
Sat Nov 14 23:00:00 EST 1998
· Applied Mathematics and Optimization
·
OSTI ID:21067560
Stochastic Differential Games for Fully Coupled FBSDEs with Jumps
Journal Article
·
Mon Jun 15 00:00:00 EDT 2015
· Applied Mathematics and Optimization
·
OSTI ID:22722866