Stochastic Differential Games with Asymmetric Information
By Pierre Cardaliaguet, Catherine Rainer. 2007
83 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Modeling and Simulation
View Paper: https://www.semanticscholar.org/paper/6b68ba3c30dd1a2bf8c45b329f1a4e8be9515da6
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In Economics and Econometrics
- Daniel Lacker
- Markus Fischer
- Franccois Delarue
- René A. Carmona
- François Delarue
- Rinel Foguen Tchuendom
In Finance
- Daniel Lacker
- Markus Fischer
- Franccois Delarue
- René A. Carmona
- François Delarue
- Rinel Foguen Tchuendom
In Modeling and Simulation
Citations in the corpus
- On the convergence of closed-loop Nash equilibria to the mean field game limit (2018, background): “Closed-loop path-dependent equilibria have appeared with some frequency in the literature on two-player stochastic differential games [11, 33].”