A Probabilistic-Numerical Approximation for an Obstacle Problem Arising in Game Theory
Journal Article
·
· Applied Mathematics and Optimization
- Laboratoire de Mathematiques de Brest UMR 6205 (France)
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.
- OSTI ID:
- 22092053
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 66; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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