A Probabilistic Representation for the Value of Zero-Sum Differential Games with Incomplete Information on Both Sides

DOI10.1137/16M106217XzbMath1358.91018arXiv1602.06140OpenAlexW2286053263MaRDI QIDQ2968554

Fabien Gensbittel, Catherine Rainer

Publication date: 17 March 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.06140

zbMATH Keywords

Hamilton-Jacobi equationsstochastic differential gameincomplete informationzero-sum continuous-time game

Mathematics Subject Classification ID

Random fields (60G60) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (5)

A zero sum differential game with correlated informations on the initial position. A case with a continuum of initial positions ⋮ A two-player zero-sum game where only one player observes a Brownian motion ⋮ Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians ⋮ Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side ⋮ Acyclic Gambling Games

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