Stochastic differential games with asymmetric information
Optimization and Control
2007-05-23 v1
Abstract
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 solutions of some second order Hamilton-Jacobi equation.
Cite
@article{arxiv.math/0703155,
title = {Stochastic differential games with asymmetric information},
author = {Pierre Cardaliaguet and Catherine Rainer},
journal= {arXiv preprint arXiv:math/0703155},
year = {2007}
}