{
  "id": "math/0703155",
  "version": "v1",
  "published": "2007-03-06T14:01:04.000Z",
  "updated": "2007-03-06T14:01:04.000Z",
  "title": "Stochastic differential games with asymmetric information",
  "authors": [
    "Pierre Cardaliaguet",
    "Catherine Rainer"
  ],
  "categories": [
    "math.OC"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2007-03-06T14:01:04.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "49N70",
      "49L25",
      "91A23"
    ],
    "keywords": [
      "asymmetric information",
      "two-player zero-sum stochastic differential game",
      "second order hamilton-jacobi equation",
      "dual solutions",
      "random payoff"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2007math......3155C"
    }
  }
}