Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information

DOI10.1137/19M1309997zbMath1467.65066arXiv1912.13248OpenAlexW2998316972MaRDI QIDQ5858105

Ľubomír Baňas, Giorgio Ferrari, Tsiry Avisoa Randrianasolo

Publication date: 9 April 2021

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

Full work available at URL: https://arxiv.org/abs/1912.13248

zbMATH Keywords

viscosity solutionasymmetric informationzero-sum stochastic differential gamesconvexity constrained Hamilton-Jacobi-Bellmann equationdiscrete convex envelopeprobabilistic numerical approximation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational aspects related to convexity (52B55) Differential games and control (49N70) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Approximation by convex sets (52A27) Hamilton-Jacobi equations (35F21) Numerical methods for variational inequalities and related problems (65K15)

Related Items (3)

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Uses Software

• Qhull

Cites Work

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