A BSDE approach to stochastic differential games with incomplete information

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Gruen, Christine

关键词: Stochastic differential games;    Backward stochastic differential equations;    Dynamic programming;    Viscosity solutions;   

DOI  :  10.1016/j.spa.2012.02.010

来源: Elsevier

【 摘 要 】

We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our aim is to quantify the amount of information the informed player has to reveal in order to play optimally: to do so, we show that the value function of this zero-sum game can be rewritten as a minimization problem over some martingale measures with a payoff given by the solution of a backward stochastic differential equation. (c) 2012 Elsevier B.V. All rights reserved.

【 授权许可】

Free