Stochastic differential games with asymmetric information

Details Stochastic differential games with asymmetric information Stochastic differential games with asymmetric information

2007-03-06

arxiv.org/abs/math/0703155v1

Mathematics

Optimization and Control

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Stochastic differential games with asymmetric information does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Stochastic differential games with asymmetric information, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Stochastic differential games with asymmetric information will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-235125