Differential games with asymmetric information and without Isaacs condition

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Yuhong Xu

Published 2014-07-16, updated 2015-07-29Version 2

We investigate a two-player zero-sum differential game with asymmetric information on the payoff and without Isaacs condition. The dynamics is an ordinary differential equation parametrised by two controls chosen by the players. Each player has a private information on the payoff of the game, while his opponent knows only the probability distribution on the information of the other player. We show that a suitable definition of random strategies allows to prove the existence of a value in mixed strategies. Moreover, the value function can be characterised in term of the unique viscosity solution in some dual sense of a Hamilton-Jacobi-Isaacs equation. Here we do not suppose the Isaacs condition which is usually assumed in differential games.