Numerical approximation of Dynkin games with asymmetric information

Lubomir Banas, Giorgio Ferrari and Tsiry Avisoa Randrianasolo
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Lubomir Banas: Center for Mathematical Economics, Bielefeld University
Giorgio Ferrari: Center for Mathematical Economics, Bielefeld University
Tsiry Avisoa Randrianasolo: Center for Mathematical Economics, Bielefeld University

No 733, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We propose an implementable, neural network-based structure preserving probabilistic numerical approximation for a generalized obstacle problem describing the value of a zero-sum differential game of optimal stopping with asymmetric information. The target solution depends on three variables: the time, the spatial (or state) variable, and a variable from a standard (I - 1)-simplex which represents the probabilities with which the I possible configurations of the game are played. The proposed numerical approximation preserves the convexity of the continuous solution as well as the lower and upper obstacle bounds. We show convergence of the fully-discrete scheme to the unique viscosity solution of the continuous problem and present a range of numerical studies to demonstrate its applicability.

Pages: 28
Date: 2025-08-14
New Economics Papers: this item is included in nep-gth
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