A BSDE approach to stochastic differential games with incomplete information

Christine Grün

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arXiv · 1106.2629

A BSDE approach to stochastic differential games with incomplete information

Christine Grün

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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.

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Christine Grün. 2011-06-14. A BSDE approach to stochastic differential games with incomplete information. https://arxiv.org/abs/1106.2629

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