Infinite Horizon Differential Games with Asymmetric Information

Xiaochi Wu ()
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Xiaochi Wu: Université de Bretagne Occidentale

Dynamic Games and Applications, 2019, vol. 9, issue 3, No 15, 858-880

Abstract: Abstract This article is concerned with the existence of a value for a zero-sum differential game with an asymmetric information on initial state with an infinite horizon running cost. Before the game begins, an initial state is chosen randomly from a finite set and each player receives a private signal generated by the chosen initial state. The main result is that the game has a value with random non-anticipative strategies with delay and that its value function can be characterized as the unique bounded continuous viscosity solution of a suitable Hamilton–Jacobi–Isaacs equation.

Keywords: Differential games; Incomplete information; Infinite horizon; Hamilton–Jacobi equations; 49N30; 49N70; 91A05; 91A10; 91A23 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s13235-018-0272-8

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