A BSDE approach to stochastic differential games with incomplete information
Probability
2011-06-15 v1
Abstract
We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our aim is to quantify the amount of information the informed player has to reveal in order to play optimally: to do so, we show that the value function of this zero-sum game can be rewritten as a minimization problem over some martingale measures with a payoff given by the solution of a backward stochastic differential equation.
Cite
@article{arxiv.1106.2629,
title = {A BSDE approach to stochastic differential games with incomplete information},
author = {Christine Grün},
journal= {arXiv preprint arXiv:1106.2629},
year = {2011}
}