Stochastic differential games with asymmetric information

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dc.creatorCardaliaguet, Pierre
dc.creatorRainer, Catherine
dc.date2007-03-06
dc.date.accessioned2026-07-07T07:50:26Z
dc.date.available2026-07-07T07:50:26Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/math/0703155
dc.identifierhttp://arxiv.org/abs/math/0703155
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/125165
dc.subjectOptimization and Control
dc.subject49N70; 49L25; 91A23
dc.titleStochastic differential games with asymmetric information
dc.typetext

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