A BSDE approach to stochastic differential games with incomplete information

Christine Grün
Authors registered in the RePEc Author Service: Christine Gruen

Stochastic Processes and their Applications, 2012, vol. 122, issue 4, 1917-1946

Abstract: 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.

Keywords: Stochastic differential games; Backward stochastic differential equations; Dynamic programming; Viscosity solutions (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2012.02.010

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