A BSDE approach to stochastic differential games with incomplete information
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DOI: 10.1016/j.spa.2012.02.010
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References listed on IDEAS
- Pierre Cardaliaguet & Catherine Rainer, 2009. "On a Continuous-Time Game with Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 34(4), pages 769-794, November.
- repec:dau:papers:123456789/6935 is not listed on IDEAS
- repec:dau:papers:123456789/6927 is not listed on IDEAS
- Robert J. Aumann, 1995. "Repeated Games with Incomplete Information," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262011476, December.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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Cited by:
- Fabien Gensbittel & Catherine Rainer, 2018. "A Two-Player Zero-sum Game Where Only One Player Observes a Brownian Motion," Dynamic Games and Applications, Springer, vol. 8(2), pages 280-314, June.
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Keywords
Stochastic differential games; Backward stochastic differential equations; Dynamic programming; Viscosity solutions;All these keywords.
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