A probabilistic-numerical approximation for an obstacle problem arising in game theory

Details A probabilistic-numerical approximation for an obstacle problem arising in game theory A probabilistic-numerical approximation for an obstacle problem arising in game theory

2011-11-16

arxiv.org/abs/1111.4136v1

Computer Science

Computer Science and Game Theory

Scientific paper

We investigate a two-player zero-sum stochastic differential game in which
one of the players has more information on the game than his opponent. We show
how to construct numerical schemes for the value function of this game, which
is given by the solution of a quasilinear partial differential equation with
obstacle.

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