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Stochastic Differential Games with Asymmetric Information

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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 viscosity solutions of some second order Hamilton-Jacobi equation.

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Authors and Affiliations

  1. Laboratoire de Mathématique (UMR CNRS 6205), Université de Brest, 6, avenue Victor-le-Gorgeu, B.P. 809, 29285, Brest cedex, France

    Pierre Cardaliaguet & Catherine Rainer

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  1. Pierre Cardaliaguet
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  2. Catherine Rainer
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Correspondence to Pierre Cardaliaguet.

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Cardaliaguet, P., Rainer, C. Stochastic Differential Games with Asymmetric Information. Appl Math Optim 59, 1–36 (2009). https://doi.org/10.1007/s00245-008-9042-0

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  • DOI: https://doi.org/10.1007/s00245-008-9042-0

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