Stochastic Differential Games with Asymmetric Information

Journal Article · Sun Feb 15 00:00:00 EST 2009 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-008-9042-0· OSTI ID:21241904

Cardaliaguet, Pierre; Rainer, Catherine ^[1]

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1. 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, Vol. 59, Issue 1; Other Information: DOI: 10.1007/s00245-008-9042-0; Copyright (c) 2009 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

97 MATHEMATICAL METHODS AND COMPUTING
99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
ASYMMETRY
HAMILTON-JACOBI EQUATIONS
INFORMATION THEORY
MATHEMATICAL SOLUTIONS
RANDOMNESS
STOCHASTIC PROCESSES