arXiv:math/0703155 Abstract

arXiv:math/0703155 [math.OC]Abstract References Reviews Resources

Stochastic differential games with asymmetric information

Published 2007-03-06Version 1

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.

Categories: math.OC

Subjects: 49N70, 49L25, 91A23

Keywords: asymmetric information, two-player zero-sum stochastic differential game, second order hamilton-jacobi equation, dual solutions, random payoff

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