Existence of value for a differential game with asymmetric information and signal revealing

Xiaochi Wu ()
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Xiaochi Wu: Shandong University

International Journal of Game Theory, 2022, vol. 51, issue 1, No 8, 213-247

Abstract: Abstract In the present paper, we investigate the existence of value for a new class of infinite horizon two-person zero-sum differential games with asymmetric information on the random pay-off. Before the game begins, both players receive private information about the randomly chosen running cost, while during the game a public signal dependent of the cost function is generated and observed by both players. We prove that, with suitable notion of strategies, the game has a value, and its value function is the unique bounded continuous viscosity solution of a Hamilton–Jacobi–Isaacs equation.

Keywords: Differential Games; Incomplete Information; Signal; Hamilton–Jacobi–Isaacs Equation; 49N30; 49N70; 91A05; 91A10; 91A23 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00182-021-00790-0

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