Stochastic Differential Games with Asymmetric Information
نویسندگان
چکیده
منابع مشابه
Stochastic differential games with asymmetric information
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. Key-words : stochastic differential game, asymmetric information, viscosity solution. A.M.S. classification : 49N70, 49L...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2008
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-008-9042-0