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 viscosity solutions of some second order Hamilton-Jacobi equation.

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Year of publication:	2009
Authors:	Cardaliaguet, Pierre ; Rainer, Catherine
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Stochastic differential game \| Asymmetric information \| Viscosity solution

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Applied Mathematics and Optimization, 2009, Vol. 59, no. 1. pp. 1-36.Length: 35 pages
Classification:	D82 - Asymmetric and Private Information ; C73 - Stochastic and Dynamic Games
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010707457