Stochastic Differential Games with Asymmetric Information |
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| Authors: | Pierre Cardaliaguet Catherine Rainer |
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| Affiliation: | (1) Laboratoire de Mathématique (UMR CNRS 6205), Université de Brest, 6, avenue Victor-le-Gorgeu, B.P. 809, 29285 Brest cedex, France |
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| Abstract: | 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 viscosity solutions of some second order Hamilton-Jacobi equation. |
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| Keywords: | Stochastic differential game Asymmetric information Viscosity solution |
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