Stochastic differential games with asymmetric information
classification
🧮 math.OC
keywords
asymmetricdifferentialgameinformationstochasticvaluecharacterizedual
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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.
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