Stochastic differential games with asymmetric information.
Résumé
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.
Domaines
Optimisation et contrôle [math.OC]| Origine | Fichiers produits par l'(les) auteur(s) |
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