Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information (Q5858105)
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scientific article; zbMATH DE number 7332068
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information |
scientific article; zbMATH DE number 7332068 |
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Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information (English)
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9 April 2021
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zero-sum stochastic differential games
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asymmetric information
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probabilistic numerical approximation
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discrete convex envelope
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convexity constrained Hamilton-Jacobi-Bellmann equation
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viscosity solution
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