Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527292 | Stochastic Processes and their Applications | 2012 | 30 Pages |
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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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Christine Grün,