A probabilistic-numerical approximation for an obstacle problem arising in game theory
Computer Science and Game Theory
2011-11-18 v1 Probability
Abstract
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.
Keywords
Cite
@article{arxiv.1111.4136,
title = {A probabilistic-numerical approximation for an obstacle problem arising in game theory},
author = {Christine Grün},
journal= {arXiv preprint arXiv:1111.4136},
year = {2011}
}